<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD><META content="IE=5.0000" http-equiv="X-UA-Compatible">
<TITLE>SAS Output</TITLE>
<META name=GENERATOR content="MSHTML 11.00.10570.1001">
<META content="text/html; charset=windows-1252" http-equiv=Content-type>
<STYLE type=text/css>.accessiblecaption {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.activelink {
	COLOR: #800080
}
.aftercaption {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; PADDING-TOP: 4pt; BORDER-SPACING: 0px; BACKGROUND-COLOR: #fafbfe
}
.batch {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 1px solid; FONT-FAMILY: 'SAS Monospace', 'Courier New', Courier, monospace; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-COLLAPSE: separate; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: normal; COLOR: #000000; PADDING-BOTTOM: 7px; FONT-STYLE: normal; PADDING-TOP: 7px; PADDING-LEFT: 7px; BORDER-SPACING: 1px; BORDER-LEFT: #c1c1c1 1px solid; PADDING-RIGHT: 7px; BACKGROUND-COLOR: #fafbfe
}
.beforecaption {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-SPACING: 0px; BACKGROUND-COLOR: #fafbfe
}
.body {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; MARGIN-LEFT: 8px; BACKGROUND-COLOR: #fafbfe; MARGIN-RIGHT: 8px
}
.bodydate {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; WIDTH: 100%; VERTICAL-ALIGN: top; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; TEXT-ALIGN: right; BORDER-SPACING: 0px; BACKGROUND-COLOR: #fafbfe
}
.bycontentfolder {
	LIST-STYLE-TYPE: none; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; MARGIN-LEFT: 6pt
}
.byline {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-SPACING: 0px; BACKGROUND-COLOR: #fafbfe
}
.bylinecontainer {
	FONT-SIZE: x-small; BORDER-TOP: #000000 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #000000 0px solid; WIDTH: 100%; BORDER-BOTTOM: #000000 0px solid; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BORDER-SPACING: 1px; BORDER-LEFT: #000000 0px solid; BACKGROUND-COLOR: #fafbfe
}
.caption {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-SPACING: 0px; BACKGROUND-COLOR: #fafbfe
}
.cell {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.container {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.contentfolder {
	LIST-STYLE-TYPE: none; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; MARGIN-LEFT: 6pt
}
.contentitem {
	LIST-STYLE-TYPE: none; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; MARGIN-LEFT: 6pt
}
.contentproclabel {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.contentprocname {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.contents {
	LIST-STYLE-TYPE: decimal; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; MARGIN-LEFT: 8px; BACKGROUND-COLOR: #fafbfe; MARGIN-RIGHT: 8px
}
.contentsdate {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; WIDTH: 100%; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.contenttitle {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: italic; BACKGROUND-COLOR: #fafbfe
}
.continued {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; WIDTH: 100%; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-SPACING: 0px; BACKGROUND-COLOR: #fafbfe
}
.data {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: normal; FONT-STYLE: normal; BORDER-LEFT: #c1c1c1 0px solid; BACKGROUND-COLOR: #ffffff
}
.dataemphasis {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: normal; FONT-STYLE: normal; BORDER-LEFT: #c1c1c1 0px solid; BACKGROUND-COLOR: #ffffff
}
.dataemphasisfixed {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 0px solid; FONT-FAMILY: 'Courier New', Courier, monospace; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: normal; FONT-STYLE: italic; BORDER-LEFT: #c1c1c1 0px solid; BACKGROUND-COLOR: #ffffff
}
.dataempty {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: normal; FONT-STYLE: normal; BORDER-LEFT: #c1c1c1 0px solid; BACKGROUND-COLOR: #ffffff
}
.datafixed {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 0px solid; FONT-FAMILY: 'Courier New', Courier; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: normal; FONT-STYLE: normal; BORDER-LEFT: #c1c1c1 0px solid; BACKGROUND-COLOR: #ffffff
}
.datastrong {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: bold; COLOR: #000000; FONT-STYLE: normal; BORDER-LEFT: #c1c1c1 0px solid; BACKGROUND-COLOR: #ffffff
}
.datastrongfixed {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 0px solid; FONT-FAMILY: 'Courier New', Courier, monospace; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: bold; COLOR: #000000; FONT-STYLE: normal; BORDER-LEFT: #c1c1c1 0px solid; BACKGROUND-COLOR: #ffffff
}
.date {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; WIDTH: 100%; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.document {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
A:link {
	COLOR: #0000ff
}
A:visited {
	COLOR: #800080
}
A:active {
	COLOR: #800080
}
.errorbanner {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.errorcontent {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.errorcontentfixed {
	FONT-SIZE: x-small; FONT-FAMILY: 'Courier New', Courier; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.extendedpage {
	FONT-SIZE: x-small; BORDER-TOP: #000000 1pt solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #000000 1pt solid; BORDER-BOTTOM: #000000 1pt solid; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: italic; TEXT-ALIGN: center; BORDER-LEFT: #000000 1pt solid; BACKGROUND-COLOR: #fafbfe
}
.fatalbanner {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.fatalcontent {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.fatalcontentfixed {
	FONT-SIZE: x-small; FONT-FAMILY: 'Courier New', Courier; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.folderaction {
	LIST-STYLE-TYPE: none; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; MARGIN-LEFT: 6pt
}
.footer {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.footeremphasis {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: italic; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.footeremphasisfixed {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: 'Courier New', Courier, monospace; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: italic; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.footerempty {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.footerfixed {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: 'Courier New', Courier; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.footerstrong {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.footerstrongfixed {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: 'Courier New', Courier, monospace; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.frame {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.graph {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 1px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-COLLAPSE: separate; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BORDER-SPACING: 1px; BORDER-LEFT: #c1c1c1 1px solid; BACKGROUND-COLOR: #fafbfe
}
.header {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.headeremphasis {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: italic; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #d8dbd3
}
.headeremphasisfixed {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: 'Courier New', Courier, monospace; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: italic; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #d8dbd3
}
.headerempty {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.headerfixed {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: 'Courier New', Courier; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #edf2f9
}
.headersandfooters {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #edf2f9
}
.headerstrong {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: bold; COLOR: #000000; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #d8dbd3
}
.headerstrongfixed {
	FONT-SIZE: x-small; BORDER-TOP: #b0b7bb 0px solid; FONT-FAMILY: 'Courier New', Courier, monospace; BORDER-RIGHT: #b0b7bb 1px solid; BORDER-BOTTOM: #b0b7bb 1px solid; FONT-WEIGHT: bold; COLOR: #000000; FONT-STYLE: normal; BORDER-LEFT: #b0b7bb 0px solid; BACKGROUND-COLOR: #d8dbd3
}
.heading1 {
	FONT-FAMILY: Arial, Helvetica, sans-serif
}
.heading2 {
	FONT-FAMILY: Arial, Helvetica, sans-serif
}
.heading3 {
	FONT-FAMILY: Arial, Helvetica, sans-serif
}
.heading4 {
	FONT-FAMILY: Arial, Helvetica, sans-serif
}
.heading5 {
	FONT-FAMILY: Arial, Helvetica, sans-serif
}
.heading6 {
	FONT-FAMILY: Arial, Helvetica, sans-serif
}
.index {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.indexaction {
	LIST-STYLE-TYPE: none; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; MARGIN-LEFT: 6pt
}
.indexitem {
	LIST-STYLE-TYPE: none; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; MARGIN-LEFT: 6pt
}
.indexprocname {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.indextitle {
	FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: bold; COLOR: #112277; FONT-STYLE: italic; BACKGROUND-COLOR: #fafbfe
}
.layoutcontainer {
	BORDER-TOP: #000000 0px solid; BORDER-RIGHT: #000000 0px solid; BORDER-BOTTOM: #000000 0px solid; BORDER-SPACING: 30px; BORDER-LEFT: #000000 0px solid
}
.layoutregion {
	BORDER-TOP: #000000 0px solid; BORDER-RIGHT: #000000 0px solid; BORDER-BOTTOM: #000000 0px solid; BORDER-SPACING: 30px; BORDER-LEFT: #000000 0px solid
}
.linecontent {
	FONT-SIZE: x-small; BORDER-TOP: #c1c1c1 0px solid; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; BORDER-RIGHT: #c1c1c1 1px solid; BORDER-BOTTOM: #c1c1c1 1px solid; FONT-WEIGHT: normal; COLOR: #112277; FONT-STYLE: normal; BORDER-LEFT: #c1c1c1 0px solid; BACKGROUND-COLOR: #fafbfe
}
.link {
	COLOR: #0000ff
}
.list {
	LIST-STYLE-TYPE: disc; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list10 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list2 {
	LIST-STYLE-TYPE: circle; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list3 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list4 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list5 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list6 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list7 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list8 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.list9 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.listitem {
	LIST-STYLE-TYPE: disc; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.listitem10 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.listitem2 {
	LIST-STYLE-TYPE: circle; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.listitem3 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
}
.listitem4 {
	LIST-STYLE-TYPE: square; FONT-SIZE: x-small; FONT-FAMILY: Arial, 'Albany AMT', Helvetica, Helv; FONT-WEIGHT: normal; COLOR: #000000; FONT-STYLE: normal; BACKGROUND-COLOR: #fafbfe
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width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 1: Descriptive Statistics (Pseudo 
  Data)</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
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  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>MEAN</TH>
    <TH class="c header" scope=col>St.dev</TH>
    <TH class="c header" scope=col>5\%</TH>
    <TH class="c header" scope=col>25\%</TH>
    <TH class="c header" scope=col>50\%</TH>
    <TH class="c header" scope=col>75\%</TH>
    <TH class="c header" scope=col>95\%</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Quoted Spread - Cents</TD>
    <TD class="r data">12.70</TD>
    <TD class="r data">3.57</TD>
    <TD class="r data">8.87</TD>
    <TD class="r data">9.97</TD>
    <TD class="r data">11.63</TD>
    <TD class="r data">14.20</TD>
    <TD class="r data">21.30</TD></TR>
  <TR>
    <TD class="l data">Effective Spread - Cents</TD>
    <TD class="r data">7.16</TD>
    <TD class="r data">2.16</TD>
    <TD class="r data">4.87</TD>
    <TD class="r data">5.51</TD>
    <TD class="r data">6.30</TD>
    <TD class="r data">8.28</TD>
    <TD class="r data">12.24</TD></TR>
  <TR>
    <TD class="l data">Price Improvement - Cents</TD>
    <TD class="r data">5.54</TD>
    <TD class="r data">1.43</TD>
    <TD class="r data">4.00</TD>
    <TD class="r data">4.46</TD>
    <TD class="r data">5.25</TD>
    <TD class="r data">5.92</TD>
    <TD class="r data">9.06</TD></TR>
  <TR>
    <TD class="l data">Market Maker Revenues - Cents</TD>
    <TD class="r data">0.84</TD>
    <TD class="r data">2.24</TD>
    <TD class="r data" noWrap>-4.72</TD>
    <TD class="r data">0.09</TD>
    <TD class="r data">1.13</TD>
    <TD class="r data">1.46</TD>
    <TD class="r data">4.94</TD></TR>
  <TR>
    <TD class="l data">Trades - 1,000s/day</TD>
    <TD class="r data">72.59</TD>
    <TD class="r data">31.17</TD>
    <TD class="r data">34.51</TD>
    <TD class="r data">49.60</TD>
    <TD class="r data">59.67</TD>
    <TD class="r data">96.68</TD>
    <TD class="r data">130.88</TD></TR>
  <TR>
    <TD class="l data">Number of auctions - 1,000s/day</TD>
    <TD class="r data">24.04</TD>
    <TD class="r data">9.72</TD>
    <TD class="r data">12.39</TD>
    <TD class="r data">16.46</TD>
    <TD class="r data">21.61</TD>
    <TD class="r data">31.86</TD>
    <TD class="r data">42.95</TD></TR>
  <TR>
    <TD class="l data">Trade size - Contracts</TD>
    <TD class="r data">3.28</TD>
    <TD class="r data">8.69</TD>
    <TD class="r data">1.00</TD>
    <TD class="r data">1.00</TD>
    <TD class="r data">1.00</TD>
    <TD class="r data">3.00</TD>
    <TD class="r data">10.00</TD></TR>
  <TR>
    <TD class="l data">Trade size - 1,000s \$</TD>
    <TD class="r data">4.62</TD>
    <TD class="r data">33.28</TD>
    <TD class="r data">0.10</TD>
    <TD class="r data">0.50</TD>
    <TD class="r data">1.29</TD>
    <TD class="r data">3.22</TD>
    <TD class="r data">15.20</TD></TR>
  <TR>
    <TD class="l data">Dollar volume - Billions \$/day</TD>
    <TD class="r data">0.34</TD>
    <TD class="r data">0.21</TD>
    <TD class="r data">0.10</TD>
    <TD class="r data">0.18</TD>
    <TD class="r data">0.25</TD>
    <TD class="r data">0.53</TD>
    <TD class="r data">0.80</TD></TR>
  <TR>
    <TD class="l data">Options traded - anonymized</TD>
    <TD class="r data">. </TD>
    <TD class="r data">. </TD>
    <TD class="r data">. </TD>
    <TD class="r data">. </TD>
    <TD class="r data">. </TD>
    <TD class="r data">. </TD>
    <TD class="r data">. </TD></TR>
  <TR>
    <TD class="l data">Trade Price - $</TD>
    <TD class="r data">14.15</TD>
    <TD class="r data">4.25</TD>
    <TD class="r data">9.70</TD>
    <TD class="r data">10.92</TD>
    <TD class="r data">12.84</TD>
    <TD class="r data">15.56</TD>
    <TD class="r data">25.19</TD></TR>
  <TR>
    <TD class="l data">Call Volume - %</TD>
    <TD class="r data">71.88</TD>
    <TD class="r data">5.73</TD>
    <TD class="r data">63.30</TD>
    <TD class="r data">66.92</TD>
    <TD class="r data">71.95</TD>
    <TD class="r data">76.32</TD>
    <TD class="r data">80.53</TD></TR>
  <TR>
    <TD class="l data">Put Volume - %</TD>
    <TD class="r data">28.12</TD>
    <TD class="r data">5.73</TD>
    <TD class="r data">19.47</TD>
    <TD class="r data">23.68</TD>
    <TD class="r data">28.05</TD>
    <TD class="r data">33.08</TD>
    <TD class="r data">36.70</TD></TR>
  <TR>
    <TD class="l data">Days-to-expiration - Days</TD>
    <TD class="r data">13.59</TD>
    <TD class="r data">3.06</TD>
    <TD class="r data">9.12</TD>
    <TD class="r data">11.60</TD>
    <TD class="r data">13.11</TD>
    <TD class="r data">15.06</TD>
    <TD class="r data">20.31</TD></TR>
  <TR>
    <TD class="l data">|Delta|</TD>
    <TD class="r data">0.36</TD>
    <TD class="r data">0.02</TD>
    <TD class="r data">0.31</TD>
    <TD class="r data">0.35</TD>
    <TD class="r data">0.36</TD>
    <TD class="r data">0.37</TD>
    <TD class="r data">0.39</TD></TR>
  <TR>
    <TD class="l data">Stock Midpoint - $</TD>
    <TD class="r data">213.17</TD>
    <TD class="r data">26.32</TD>
    <TD class="r data">178.70</TD>
    <TD class="r data">194.18</TD>
    <TD class="r data">205.47</TD>
    <TD class="r data">231.94</TD>
    <TD class="r data">257.60</TD></TR>
  <TR>
    <TD class="l data">Market Capitalization &amp; \$ Billion</TD>
    <TD class="r data">224.87</TD>
    <TD class="r data">171.97</TD>
    <TD class="r data">29.10</TD>
    <TD class="r data">33.44</TD>
    <TD class="r data">223.68</TD>
    <TD class="r data">367.05</TD>
    <TD class="r data">583.21</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents descriptive statistics 
      computed using pseudo OPRA data provided online. Option symbols have been 
      removed due to data restrictions; therefore, the number of options traded 
      is set to missing.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX1></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 2: Wholesaler Summary (Pseudo Data) - 
      PANEL A</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>DMM</TH>
    <TH class="c header" scope=col>Marketable PFOF (\$M)</TH>
    <TH class="c header" scope=col>Marketable PFOF(\%)</TH>
    <TH class="c header" scope=col>Marketable PFOF (Per 100)</TH>
    <TH class="c header" scope=col>Marketable Contract Purch. (M.)</TH>
    <TH class="c header" scope=col>Marketable Contract Purch. 
  (\%)</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Citadel</TD>
    <TD class="l data">33.01</TD>
    <TD class="l data">45.64</TD>
    <TD class="l data">47.74</TD>
    <TD class="l data">62.92</TD>
    <TD class="l data">44.61</TD></TR>
  <TR>
    <TD class="l data">Susquehanna</TD>
    <TD class="l data">24.04</TD>
    <TD class="l data">33.24</TD>
    <TD class="l data">50.37</TD>
    <TD class="l data">41.31</TD>
    <TD class="l data">29.26</TD></TR>
  <TR>
    <TD class="l data">Wolverine</TD>
    <TD class="l data">6.05</TD>
    <TD class="l data">8.38</TD>
    <TD class="l data">45.96</TD>
    <TD class="l data">11.92</TD>
    <TD class="l data">8.44</TD></TR>
  <TR>
    <TD class="l data">Dash</TD>
    <TD class="l data">5.55</TD>
    <TD class="l data">7.72</TD>
    <TD class="l data">47.26</TD>
    <TD class="l data">12.58</TD>
    <TD class="l data">8.95</TD></TR>
  <TR>
    <TD class="l data">Morgan</TD>
    <TD class="l data">2.46</TD>
    <TD class="l data">3.36</TD>
    <TD class="l data">39.86</TD>
    <TD class="l data">4.88</TD>
    <TD class="l data">3.43</TD></TR>
  <TR>
    <TD class="l data">WEX</TD>
    <TD class="l data">0.25</TD>
    <TD class="l data">0.36</TD>
    <TD class="l data">31.66</TD>
    <TD class="l data">0.79</TD>
    <TD class="l data">0.58</TD></TR>
  <TR>
    <TD class="l data">Group_One</TD>
    <TD class="l data">0.60</TD>
    <TD class="l data">0.85</TD>
    <TD class="l data">14.77</TD>
    <TD class="l data">5.95</TD>
    <TD class="l data">4.23</TD></TR>
  <TR>
    <TD class="l data">Two_Sigma</TD>
    <TD class="l data">0.29</TD>
    <TD class="l data">0.39</TD>
    <TD class="l data">47.85</TD>
    <TD class="l data">0.60</TD>
    <TD class="l data">0.42</TD></TR>
  <TR>
    <TD class="l data">Matrix</TD>
    <TD class="l data">0.04</TD>
    <TD class="l data">0.05</TD>
    <TD class="l data">31.67</TD>
    <TD class="l data">0.11</TD>
    <TD class="l data">0.07</TD></TR>
  <TR>
    <TD class="l data">Citigroup</TD>
    <TD class="l data">0.04</TD>
    <TD class="l data">0.06</TD>
    <TD class="l data">38.57</TD>
    <TD class="l data">0.12</TD>
    <TD class="l data">0.09</TD></TR>
  <TR>
    <TD class="l data">GTS</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR>
  <TR>
    <TD class="l data">Goldman</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR>
  <TR>
    <TD class="l data">XR</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents payment for orderflow 
      (PFOF) and wholesaler assignment metrics using Rule 606 data and pseudo 
      OPRA data. Due to data restrictions, options and stock symbols are 
      removed; all columns with counts have been set to missing 
</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX2></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 2: Wholesaler Summary (Pseudo Data) - 
      PANEL B</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>DMM</TH>
    <TH class="c header" scope=col>NMLO PFOF (\$M)</TH>
    <TH class="c header" scope=col>NMLO PFOF(\%)</TH>
    <TH class="c header" scope=col>NMLO PFOF (Per 100)</TH>
    <TH class="c header" scope=col>NMLO Contract Purch. (M.)</TH>
    <TH class="c header" scope=col>NMLO Contract Purch. (\%)</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Citadel</TD>
    <TD class="l data">31.10</TD>
    <TD class="l data">46.34</TD>
    <TD class="l data">50.93</TD>
    <TD class="l data">54.50</TD>
    <TD class="l data">45.44</TD></TR>
  <TR>
    <TD class="l data">Susquehanna</TD>
    <TD class="l data">18.15</TD>
    <TD class="l data">27.02</TD>
    <TD class="l data">49.79</TD>
    <TD class="l data">32.13</TD>
    <TD class="l data">26.76</TD></TR>
  <TR>
    <TD class="l data">Wolverine</TD>
    <TD class="l data">8.07</TD>
    <TD class="l data">12.03</TD>
    <TD class="l data">47.46</TD>
    <TD class="l data">14.64</TD>
    <TD class="l data">12.20</TD></TR>
  <TR>
    <TD class="l data">Dash</TD>
    <TD class="l data">4.63</TD>
    <TD class="l data">6.91</TD>
    <TD class="l data">46.80</TD>
    <TD class="l data">9.67</TD>
    <TD class="l data">8.07</TD></TR>
  <TR>
    <TD class="l data">Morgan</TD>
    <TD class="l data">2.74</TD>
    <TD class="l data">4.04</TD>
    <TD class="l data">39.27</TD>
    <TD class="l data">5.02</TD>
    <TD class="l data">4.16</TD></TR>
  <TR>
    <TD class="l data">WEX</TD>
    <TD class="l data">1.80</TD>
    <TD class="l data">2.68</TD>
    <TD class="l data">58.44</TD>
    <TD class="l data">2.87</TD>
    <TD class="l data">2.39</TD></TR>
  <TR>
    <TD class="l data">Group_One</TD>
    <TD class="l data">0.45</TD>
    <TD class="l data">0.67</TD>
    <TD class="l data">61.23</TD>
    <TD class="l data">0.73</TD>
    <TD class="l data">0.61</TD></TR>
  <TR>
    <TD class="l data">Two_Sigma</TD>
    <TD class="l data">0.15</TD>
    <TD class="l data">0.22</TD>
    <TD class="l data">47.56</TD>
    <TD class="l data">0.31</TD>
    <TD class="l data">0.26</TD></TR>
  <TR>
    <TD class="l data">Matrix</TD>
    <TD class="l data">0.09</TD>
    <TD class="l data">0.12</TD>
    <TD class="l data">43.10</TD>
    <TD class="l data">0.19</TD>
    <TD class="l data">0.15</TD></TR>
  <TR>
    <TD class="l data">Citigroup</TD>
    <TD class="l data">0.04</TD>
    <TD class="l data">0.06</TD>
    <TD class="l data">42.58</TD>
    <TD class="l data">0.09</TD>
    <TD class="l data">0.08</TD></TR>
  <TR>
    <TD class="l data">GTS</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR>
  <TR>
    <TD class="l data">Goldman</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR>
  <TR>
    <TD class="l data">XR</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents payment for orderflow 
      (PFOF) and wholesaler assignment metrics using Rule 606 data and pseudo 
      OPRA data. Due to data restrictions, options and stock symbols are 
      removed; all columns with counts have been set to missing 
</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX3></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 2: Wholesaler Summary (Pseudo Data) - 
      PANEL C</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>DMM</TH>
    <TH class="c header" scope=col>OO PFOF (\$M)</TH>
    <TH class="c header" scope=col>OO PFOF(\%)</TH>
    <TH class="c header" scope=col>OO PFOF (Per 100)</TH>
    <TH class="c header" scope=col>OO Contract Purch. (M.)</TH>
    <TH class="c header" scope=col>OO Contract Purch. (\%)</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Citadel</TD>
    <TD class="l data">8.32</TD>
    <TD class="l data">41.14</TD>
    <TD class="l data">46.55</TD>
    <TD class="l data">21.26</TD>
    <TD class="l data">43.46</TD></TR>
  <TR>
    <TD class="l data">Susquehanna</TD>
    <TD class="l data">4.99</TD>
    <TD class="l data">24.72</TD>
    <TD class="l data">48.84</TD>
    <TD class="l data">11.45</TD>
    <TD class="l data">23.42</TD></TR>
  <TR>
    <TD class="l data">Wolverine</TD>
    <TD class="l data">1.30</TD>
    <TD class="l data">6.40</TD>
    <TD class="l data">51.01</TD>
    <TD class="l data">2.95</TD>
    <TD class="l data">6.02</TD></TR>
  <TR>
    <TD class="l data">Dash</TD>
    <TD class="l data">3.60</TD>
    <TD class="l data">17.77</TD>
    <TD class="l data">40.38</TD>
    <TD class="l data">8.58</TD>
    <TD class="l data">17.52</TD></TR>
  <TR>
    <TD class="l data">Morgan</TD>
    <TD class="l data">1.35</TD>
    <TD class="l data">6.70</TD>
    <TD class="l data">39.81</TD>
    <TD class="l data">3.16</TD>
    <TD class="l data">6.48</TD></TR>
  <TR>
    <TD class="l data">WEX</TD>
    <TD class="l data">0.07</TD>
    <TD class="l data">0.34</TD>
    <TD class="l data">28.39</TD>
    <TD class="l data">0.12</TD>
    <TD class="l data">0.25</TD></TR>
  <TR>
    <TD class="l data">Group_One</TD>
    <TD class="l data">0.53</TD>
    <TD class="l data">2.64</TD>
    <TD class="l data">42.16</TD>
    <TD class="l data">1.27</TD>
    <TD class="l data">2.59</TD></TR>
  <TR>
    <TD class="l data">Two_Sigma</TD>
    <TD class="l data">0.01</TD>
    <TD class="l data">0.04</TD>
    <TD class="l data">47.61</TD>
    <TD class="l data">0.01</TD>
    <TD class="l data">0.03</TD></TR>
  <TR>
    <TD class="l data">Matrix</TD>
    <TD class="l data">0.06</TD>
    <TD class="l data">0.26</TD>
    <TD class="l data">38.95</TD>
    <TD class="l data">0.11</TD>
    <TD class="l data">0.21</TD></TR>
  <TR>
    <TD class="l data">Citigroup</TD>
    <TD class="l data">0.05</TD>
    <TD class="l data">0.24</TD>
    <TD class="l data">40.49</TD>
    <TD class="l data">0.10</TD>
    <TD class="l data">0.22</TD></TR>
  <TR>
    <TD class="l data">GTS</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR>
  <TR>
    <TD class="l data">Goldman</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR>
  <TR>
    <TD class="l data">XR</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents payment for orderflow 
      (PFOF) and wholesaler assignment metrics using Rule 606 data and pseudo 
      OPRA data. Due to data restrictions, options and stock symbols are 
      removed; all columns with counts have been set to missing 
</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX4></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 2: Wholesaler Summary (Pseudo Data) - 
      PANEL D</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>DMM</TH>
    <TH class="c header" scope=col>Exchanges (\#)</TH>
    <TH class="c header" scope=col>\# Symbols<BR>Auction PImpr</TH>
    <TH class="c header" scope=col>Assignments (%)</TH>
    <TH class="c header" scope=col>Options (\#)</TH>
    <TH class="c header" scope=col>Options (%)</TH>
    <TH class="c header" scope=col>Auctions (%)</TH>
    <TH class="c header" scope=col>Price Improvement</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Citadel</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">1.43</TD>
    <TD class="l data">1.92</TD></TR>
  <TR>
    <TD class="l data">Susquehanna</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">50.23</TD>
    <TD class="l data">8.40</TD></TR>
  <TR>
    <TD class="l data">Wolverine</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">18.96</TD>
    <TD class="l data">8.07</TD></TR>
  <TR>
    <TD class="l data">Dash</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">Morgan</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">10.42</TD>
    <TD class="l data">7.22</TD></TR>
  <TR>
    <TD class="l data">WEX</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">Group_One</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">Two_Sigma</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.01</TD>
    <TD class="l data">1.96</TD></TR>
  <TR>
    <TD class="l data">Matrix</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">Citigroup</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.01</TD>
    <TD class="l data">6.34</TD></TR>
  <TR>
    <TD class="l data">GTS</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">18.21</TD>
    <TD class="l data">7.66</TD></TR>
  <TR>
    <TD class="l data">Goldman</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.49</TD>
    <TD class="l data">2.15</TD></TR>
  <TR>
    <TD class="l data">XR</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.24</TD>
    <TD class="l data">17.83</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents payment for orderflow 
      (PFOF) and wholesaler assignment metrics using Rule 606 data and pseudo 
      OPRA data. This table presents payment for orderflow (PFOF) and wholesaler 
      assignment metrics using Rule 606 data and pseudo OPRA data. Due to data 
      restrictions, options and stock symbols are removed; all columns with 
      counts have been set to missing </TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX5></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 3: Exchange Summary (Pseudo 
  Data)</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Exchange</TH>
    <TH class="c header" scope=col>Group</TH>
    <TH class="c header" scope=col>Volume</TH>
    <TH class="c header" scope=col>LOB Volume</TH>
    <TH class="c header" scope=col>PCTSUM_AUC_CHAR</TH>
    <TH class="c header" scope=col>Auction Volume</TH>
    <TH class="c header" scope=col>Model</TH>
    <TH class="c header" scope=col>Auctions</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">PHLX</TD>
    <TD class="l data">NASDAQ</TD>
    <TD class="l data">15.44</TD>
    <TD class="l data">1.06</TD>
    <TD class="l data">14.38</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">PFOF</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">GEMX</TD>
    <TD class="l data">NASDAQ</TD>
    <TD class="l data">10.17</TD>
    <TD class="l data">9.98</TD>
    <TD class="l data">0.19</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">CBOE</TD>
    <TD class="l data">CBOE</TD>
    <TD class="l data">7.56</TD>
    <TD class="l data">1.91</TD>
    <TD class="l data">5.65</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">PFOF</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">MIAX</TD>
    <TD class="l data">MIAMI</TD>
    <TD class="l data">6.89</TD>
    <TD class="l data">1.68</TD>
    <TD class="l data">5.21</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">PFOF</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">ARCA</TD>
    <TD class="l data">ICE</TD>
    <TD class="l data">6.85</TD>
    <TD class="l data">6.85</TD>
    <TD class="l data">.</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">PFOF</TD>
    <TD class="l data">No</TD></TR>
  <TR>
    <TD class="l data">AMEX</TD>
    <TD class="l data">ICE</TD>
    <TD class="l data">5.84</TD>
    <TD class="l data">2.80</TD>
    <TD class="l data">3.04</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">PFOF</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">MRX</TD>
    <TD class="l data">NASDAQ</TD>
    <TD class="l data">2.74</TD>
    <TD class="l data">0.52</TD>
    <TD class="l data">2.23</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">ISE</TD>
    <TD class="l data">NASDAQ</TD>
    <TD class="l data">0.69</TD>
    <TD class="l data">0.50</TD>
    <TD class="l data">0.19</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">PFOF</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">BX</TD>
    <TD class="l data">NASDAQ</TD>
    <TD class="l data">0.60</TD>
    <TD class="l data">0.60</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">NOM</TD>
    <TD class="l data">NASDAQ</TD>
    <TD class="l data">11.24</TD>
    <TD class="l data">11.24</TD>
    <TD class="l data">.</TD>
    <TD class="l data">Non-DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">No</TD></TR>
  <TR>
    <TD class="l data">EMERALD</TD>
    <TD class="l data">MIAMI</TD>
    <TD class="l data">10.06</TD>
    <TD class="l data">10.06</TD>
    <TD class="l data">.</TD>
    <TD class="l data">Non-DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">No</TD></TR>
  <TR>
    <TD class="l data">BATS</TD>
    <TD class="l data">CBOE</TD>
    <TD class="l data">9.76</TD>
    <TD class="l data">9.76</TD>
    <TD class="l data">.</TD>
    <TD class="l data">Non-DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">No</TD></TR>
  <TR>
    <TD class="l data">BOX</TD>
    <TD class="l data">TMX</TD>
    <TD class="l data">3.79</TD>
    <TD class="l data">2.69</TD>
    <TD class="l data">1.10</TD>
    <TD class="l data">Non-DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">EDGX</TD>
    <TD class="l data">CBOE</TD>
    <TD class="l data">3.71</TD>
    <TD class="l data">3.03</TD>
    <TD class="l data">0.68</TD>
    <TD class="l data">Non-DMMP</TD>
    <TD class="l data">PFOF</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">PEARL</TD>
    <TD class="l data">MIAMI</TD>
    <TD class="l data">3.32</TD>
    <TD class="l data">3.32</TD>
    <TD class="l data">.</TD>
    <TD class="l data">Non-DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">No</TD></TR>
  <TR>
    <TD class="l data">Cboe C2</TD>
    <TD class="l data">CBOE</TD>
    <TD class="l data">1.33</TD>
    <TD class="l data">1.33</TD>
    <TD class="l data">.</TD>
    <TD class="l data">Non-DMMP</TD>
    <TD class="l data">MT</TD>
    <TD class="l data">No</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents statistics on option 
      exchanges using pseudo OPRA data provided 
online.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX6></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 4: Option Exchanges and Execution Costs 
      (Pseudo Data)</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Exchange</TH>
    <TH class="c header" scope=col>LOB QS</TH>
    <TH class="c header" scope=col>LOB ES</TH>
    <TH class="c header" scope=col>LOB Price Impr.</TH>
    <TH class="c header" scope=col>LOB EQ</TH>
    <TH class="c header" scope=col>AUC QS</TH>
    <TH class="c header" scope=col>AUC ES</TH>
    <TH class="c header" scope=col>AUC Price Impr.</TH>
    <TH class="c header" scope=col>AUC EQ</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">PHLX</TD>
    <TD class="l data">18.30</TD>
    <TD class="l data">15.56</TD>
    <TD class="l data">2.74</TD>
    <TD class="l data">0.90</TD>
    <TD class="l data">13.73</TD>
    <TD class="l data">4.16</TD>
    <TD class="l data">9.56</TD>
    <TD class="l data">0.35</TD></TR>
  <TR>
    <TD class="l data">GEMX</TD>
    <TD class="l data">11.62</TD>
    <TD class="l data">9.37</TD>
    <TD class="l data">2.26</TD>
    <TD class="l data">0.86</TD>
    <TD class="l data">10.08</TD>
    <TD class="l data">8.19</TD>
    <TD class="l data">1.89</TD>
    <TD class="l data">0.71</TD></TR>
  <TR>
    <TD class="l data">CBOE</TD>
    <TD class="l data">14.13</TD>
    <TD class="l data">10.48</TD>
    <TD class="l data">3.65</TD>
    <TD class="l data">0.78</TD>
    <TD class="l data">13.73</TD>
    <TD class="l data">4.29</TD>
    <TD class="l data">9.44</TD>
    <TD class="l data">0.34</TD></TR>
  <TR>
    <TD class="l data">MIAX</TD>
    <TD class="l data">12.96</TD>
    <TD class="l data">11.80</TD>
    <TD class="l data">1.15</TD>
    <TD class="l data">0.95</TD>
    <TD class="l data">14.21</TD>
    <TD class="l data">4.52</TD>
    <TD class="l data">9.69</TD>
    <TD class="l data">0.36</TD></TR>
  <TR>
    <TD class="l data">ARCA</TD>
    <TD class="l data">14.60</TD>
    <TD class="l data">13.72</TD>
    <TD class="l data">0.88</TD>
    <TD class="l data">0.96</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">AMEX</TD>
    <TD class="l data">14.07</TD>
    <TD class="l data">13.42</TD>
    <TD class="l data">0.64</TD>
    <TD class="l data">0.98</TD>
    <TD class="l data">15.47</TD>
    <TD class="l data">4.34</TD>
    <TD class="l data">11.13</TD>
    <TD class="l data">0.32</TD></TR>
  <TR>
    <TD class="l data">MRX</TD>
    <TD class="l data">17.94</TD>
    <TD class="l data">17.21</TD>
    <TD class="l data">0.73</TD>
    <TD class="l data">0.98</TD>
    <TD class="l data">12.66</TD>
    <TD class="l data">4.88</TD>
    <TD class="l data">7.78</TD>
    <TD class="l data">0.44</TD></TR>
  <TR>
    <TD class="l data">ISE</TD>
    <TD class="l data">20.94</TD>
    <TD class="l data">19.74</TD>
    <TD class="l data">1.20</TD>
    <TD class="l data">0.96</TD>
    <TD class="l data">11.20</TD>
    <TD class="l data">6.69</TD>
    <TD class="l data">4.50</TD>
    <TD class="l data">0.61</TD></TR>
  <TR>
    <TD class="l data">BX</TD>
    <TD class="l data">14.09</TD>
    <TD class="l data">12.12</TD>
    <TD class="l data">1.97</TD>
    <TD class="l data">0.91</TD>
    <TD class="l data">11.97</TD>
    <TD class="l data">8.84</TD>
    <TD class="l data">3.12</TD>
    <TD class="l data">0.71</TD></TR>
  <TR>
    <TD class="l data">NOM</TD>
    <TD class="l data">12.12</TD>
    <TD class="l data">8.20</TD>
    <TD class="l data">3.93</TD>
    <TD class="l data">0.73</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">EMERALD</TD>
    <TD class="l data">12.97</TD>
    <TD class="l data">8.92</TD>
    <TD class="l data">4.05</TD>
    <TD class="l data">0.78</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">BATS</TD>
    <TD class="l data">15.48</TD>
    <TD class="l data">7.39</TD>
    <TD class="l data">8.09</TD>
    <TD class="l data">0.56</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">BOX</TD>
    <TD class="l data">21.84</TD>
    <TD class="l data">13.19</TD>
    <TD class="l data">8.66</TD>
    <TD class="l data">0.75</TD>
    <TD class="l data">13.66</TD>
    <TD class="l data">5.69</TD>
    <TD class="l data">7.98</TD>
    <TD class="l data">0.50</TD></TR>
  <TR>
    <TD class="l data">EDGX</TD>
    <TD class="l data">15.86</TD>
    <TD class="l data">9.25</TD>
    <TD class="l data">6.61</TD>
    <TD class="l data">0.66</TD>
    <TD class="l data">9.12</TD>
    <TD class="l data">2.89</TD>
    <TD class="l data">6.23</TD>
    <TD class="l data">0.37</TD></TR>
  <TR>
    <TD class="l data">PEARL</TD>
    <TD class="l data">17.10</TD>
    <TD class="l data">10.11</TD>
    <TD class="l data">6.99</TD>
    <TD class="l data">0.67</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR>
  <TR>
    <TD class="l data">Cboe C2</TD>
    <TD class="l data">14.91</TD>
    <TD class="l data">8.36</TD>
    <TD class="l data">6.56</TD>
    <TD class="l data">0.61</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD>
    <TD class="l data">.</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents execution cost variables 
      across option exchanges using pseudo OPRA data provided 
  online.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX7></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">Table 5: Execution Costs (Pseudo Data) - PANEL 
    A</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Group</TH>
    <TH class="c header" scope=col>All</TH>
    <TH class="c header" scope=col>PFOF</TH>
    <TH class="c header" scope=col>NPFOF</TH>
    <TH class="c header" scope=col>PFOF - NPFOF</TH>
    <TH class="c header" scope=col>\\</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Quoted Spread - Cents</TD>
    <TD class="l data">12.54</TD>
    <TD class="l data">12.89</TD>
    <TD class="l data">11.87</TD>
    <TD class="l data">1.02</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (1.28)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Effective Spread - Cents</TD>
    <TD class="l data">4.05</TD>
    <TD class="l data">4.00</TD>
    <TD class="l data">4.14</TD>
    <TD class="l data" noWrap>-0.14</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.38)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Price Improvement - Cents</TD>
    <TD class="l data">8.49</TD>
    <TD class="l data">8.88</TD>
    <TD class="l data">7.72</TD>
    <TD class="l data">1.16</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.91)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Trade size Contracts - $</TD>
    <TD class="l data">3.86</TD>
    <TD class="l data">3.96</TD>
    <TD class="l data">3.68</TD>
    <TD class="l data">0.28\twoS</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.11)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Trade Price - $</TD>
    <TD class="l data">11.73</TD>
    <TD class="l data">11.88</TD>
    <TD class="l data">11.40</TD>
    <TD class="l data">0.48</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (1.16)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Stock Midpoint - $</TD>
    <TD class="l data">281.76</TD>
    <TD class="l data">281.98</TD>
    <TD class="l data">281.42</TD>
    <TD class="l data">0.56</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (23.52)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">EQ</TD>
    <TD class="l data">0.37</TD>
    <TD class="l data">0.36</TD>
    <TD class="l data">0.39</TD>
    <TD class="l data" noWrap>-0.04\threeS</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.01)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Market Maker Revenues - Cents</TD>
    <TD class="l data" noWrap>-2.00</TD>
    <TD class="l data" noWrap>-2.09</TD>
    <TD class="l data" noWrap>-1.83</TD>
    <TD class="l data" noWrap>-0.26</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.70)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Hedge Cost - Cents</TD>
    <TD class="l data">6.05</TD>
    <TD class="l data">6.08</TD>
    <TD class="l data">5.97</TD>
    <TD class="l data">0.12</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.84)</TD>
    <TD class="l data">\\</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents execution costs for trades 
      that execute in auctions or continuous trading using pseudo OPRA data 
      provided online.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX8></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">Table 5: Execution Costs (Pseudo Data) - PANEL 
    B</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Group</TH>
    <TH class="c header" scope=col>All</TH>
    <TH class="c header" scope=col>PFOF</TH>
    <TH class="c header" scope=col>NPFOF</TH>
    <TH class="c header" scope=col>PFOF - NPFOF</TH>
    <TH class="c header" scope=col>\\</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Quoted Spread - Cents</TD>
    <TD class="l data">12.78</TD>
    <TD class="l data">13.10</TD>
    <TD class="l data">12.72</TD>
    <TD class="l data">0.38</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (1.19)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Effective Spread - Cents</TD>
    <TD class="l data">8.70</TD>
    <TD class="l data">11.97</TD>
    <TD class="l data">8.05</TD>
    <TD class="l data">3.92\threeS</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.95)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Price Improvement - Cents</TD>
    <TD class="l data">4.08</TD>
    <TD class="l data">1.13</TD>
    <TD class="l data">4.67</TD>
    <TD class="l data" noWrap>-3.54\threeS</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.29)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Trade size Contracts - $</TD>
    <TD class="l data">3.04</TD>
    <TD class="l data">3.03</TD>
    <TD class="l data">3.05</TD>
    <TD class="l data" noWrap>-0.02</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.08)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Trade Price - $</TD>
    <TD class="l data">15.37</TD>
    <TD class="l data">19.37</TD>
    <TD class="l data">14.52</TD>
    <TD class="l data">4.85\twoS</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (2.20)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Stock Midpoint - $</TD>
    <TD class="l data">282.28</TD>
    <TD class="l data">282.49</TD>
    <TD class="l data">282.25</TD>
    <TD class="l data">0.24</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (23.10)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">EQ</TD>
    <TD class="l data">0.75</TD>
    <TD class="l data">0.95</TD>
    <TD class="l data">0.71</TD>
    <TD class="l data">0.24\threeS</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.01)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Market Maker Revenues - Cents</TD>
    <TD class="l data">2.24</TD>
    <TD class="l data">5.06</TD>
    <TD class="l data">1.68</TD>
    <TD class="l data">3.38\threeS</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.90)</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="l data">Hedge Cost - Cents</TD>
    <TD class="l data">6.40</TD>
    <TD class="l data">6.83</TD>
    <TD class="l data">6.32</TD>
    <TD class="l data">0.51</TD>
    <TD class="l data">\\</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.89)</TD>
    <TD class="l data">\\</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents execution costs for trades 
      that execute in auctions or continuous trading using pseudo OPRA data 
      provided online.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX9></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">Appendix TABLE A5: PANEL 
A</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Group</TH>
    <TH class="c header" scope=col>All</TH>
    <TH class="c header" scope=col>PFOF</TH>
    <TH class="c header" scope=col>NPFOF</TH>
    <TH class="c header" scope=col>PFOF - NPFOF</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Quoted Spread - Cents</TD>
    <TD class="l data">6.18</TD>
    <TD class="l data">5.64</TD>
    <TD class="l data">6.98</TD>
    <TD class="l data" noWrap>-1.34</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.80)</TD></TR>
  <TR>
    <TD class="l data">Effective Spread - Cents</TD>
    <TD class="l data">6.18</TD>
    <TD class="l data">5.64</TD>
    <TD class="l data">6.98</TD>
    <TD class="l data" noWrap>-1.34</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.80)</TD></TR>
  <TR>
    <TD class="l data">Price Improvement - Cents</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data">0.00</TD>
    <TD class="l data" noWrap>-0.00\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.00)</TD></TR>
  <TR>
    <TD class="l data">Trade size Contracts - $</TD>
    <TD class="l data">5.77</TD>
    <TD class="l data">5.55</TD>
    <TD class="l data">6.11</TD>
    <TD class="l data" noWrap>-0.56\oneS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.27)</TD></TR>
  <TR>
    <TD class="l data">Trade Price - $</TD>
    <TD class="l data">6.13</TD>
    <TD class="l data">6.01</TD>
    <TD class="l data">6.30</TD>
    <TD class="l data" noWrap>-0.29</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.70)</TD></TR>
  <TR>
    <TD class="l data">Stock Midpoint - $</TD>
    <TD class="l data">281.62</TD>
    <TD class="l data">281.62</TD>
    <TD class="l data">281.62</TD>
    <TD class="l data">0.01</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (23.67)</TD></TR>
  <TR>
    <TD class="l data">EQ</TD>
    <TD class="l data">1.00</TD>
    <TD class="l data">1.00</TD>
    <TD class="l data">1.00</TD>
    <TD class="l data">0.00\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.00)</TD></TR>
  <TR>
    <TD class="l data">Market Maker Revenues - Cents</TD>
    <TD class="l data">2.04</TD>
    <TD class="l data">1.51</TD>
    <TD class="l data">2.84</TD>
    <TD class="l data" noWrap>-1.33\oneS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.71)</TD></TR>
  <TR>
    <TD class="l data">Hedge Cost - Cents</TD>
    <TD class="l data">4.14</TD>
    <TD class="l data">4.12</TD>
    <TD class="l data">4.14</TD>
    <TD class="l data" noWrap>-0.01</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.63)</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">&nbsp;</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX10></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">Appendix TABLE A5: PANEL 
B</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Group</TH>
    <TH class="c header" scope=col>ALL</TH>
    <TH class="c header" scope=col>PFOF</TH>
    <TH class="c header" scope=col>NPFOF</TH>
    <TH class="c header" scope=col>PFOF - NPFOF</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Quoted Spread - Cents</TD>
    <TD class="l data">3.85</TD>
    <TD class="l data">3.77</TD>
    <TD class="l data">3.97</TD>
    <TD class="l data" noWrap>-0.20</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.25)</TD></TR>
  <TR>
    <TD class="l data">Effective Spread - Cents</TD>
    <TD class="l data">2.85</TD>
    <TD class="l data">2.77</TD>
    <TD class="l data">2.97</TD>
    <TD class="l data" noWrap>-0.20</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.25)</TD></TR>
  <TR>
    <TD class="l data">Price Improvement - Cents</TD>
    <TD class="l data">1.00</TD>
    <TD class="l data">1.00</TD>
    <TD class="l data">1.00</TD>
    <TD class="l data">0.00\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.00)</TD></TR>
  <TR>
    <TD class="l data">Trade size Contracts - $</TD>
    <TD class="l data">4.34</TD>
    <TD class="l data">4.32</TD>
    <TD class="l data">4.38</TD>
    <TD class="l data" noWrap>-0.06</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.20)</TD></TR>
  <TR>
    <TD class="l data">Trade Price - $</TD>
    <TD class="l data">3.61</TD>
    <TD class="l data">3.55</TD>
    <TD class="l data">3.71</TD>
    <TD class="l data" noWrap>-0.16</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.35)</TD></TR>
  <TR>
    <TD class="l data">Stock Midpoint - $</TD>
    <TD class="l data">281.37</TD>
    <TD class="l data">281.37</TD>
    <TD class="l data">281.36</TD>
    <TD class="l data">0.01</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (23.71)</TD></TR>
  <TR>
    <TD class="l data">EQ</TD>
    <TD class="l data">0.59</TD>
    <TD class="l data">0.57</TD>
    <TD class="l data">0.61</TD>
    <TD class="l data" noWrap>-0.04\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.02)</TD></TR>
  <TR>
    <TD class="l data">Market Maker Revenues - Cents</TD>
    <TD class="l data">0.05</TD>
    <TD class="l data">0.07</TD>
    <TD class="l data">0.02</TD>
    <TD class="l data">0.05</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.34)</TD></TR>
  <TR>
    <TD class="l data">Hedge Cost - Cents</TD>
    <TD class="l data">2.79</TD>
    <TD class="l data">2.69</TD>
    <TD class="l data">2.95</TD>
    <TD class="l data" noWrap>-0.25</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.38)</TD></TR></TBODY></TABLE></DIV></DIV><BR>
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width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">&nbsp;</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX11></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">Appendix TABLE A5: PANEL 
C</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Group</TH>
    <TH class="c header" scope=col>All</TH>
    <TH class="c header" scope=col>PFOF</TH>
    <TH class="c header" scope=col>NPFOF</TH>
    <TH class="c header" scope=col>PFOF - Non-PFOF</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Quoted Spread - Cents</TD>
    <TD class="l data">12.85</TD>
    <TD class="l data">13.98</TD>
    <TD class="l data">9.92</TD>
    <TD class="l data">4.06\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (1.12)</TD></TR>
  <TR>
    <TD class="l data">Effective Spread - Cents</TD>
    <TD class="l data">5.25</TD>
    <TD class="l data">5.55</TD>
    <TD class="l data">4.61</TD>
    <TD class="l data">0.94\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.45)</TD></TR>
  <TR>
    <TD class="l data">Price Improvement - Cents</TD>
    <TD class="l data">7.60</TD>
    <TD class="l data">8.43</TD>
    <TD class="l data">5.31</TD>
    <TD class="l data">3.12\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.75)</TD></TR>
  <TR>
    <TD class="l data">Trade size Contracts - $</TD>
    <TD class="l data">5.21</TD>
    <TD class="l data">5.25</TD>
    <TD class="l data">5.20</TD>
    <TD class="l data">0.05</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.35)</TD></TR>
  <TR>
    <TD class="l data">Trade Price - $</TD>
    <TD class="l data">12.90</TD>
    <TD class="l data">14.11</TD>
    <TD class="l data">9.78</TD>
    <TD class="l data">4.33\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (1.38)</TD></TR>
  <TR>
    <TD class="l data">Stock Midpoint - $</TD>
    <TD class="l data">282.30</TD>
    <TD class="l data">282.49</TD>
    <TD class="l data">281.82</TD>
    <TD class="l data">0.67</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (23.31)</TD></TR>
  <TR>
    <TD class="l data">EQ</TD>
    <TD class="l data">0.47</TD>
    <TD class="l data">0.45</TD>
    <TD class="l data">0.53</TD>
    <TD class="l data" noWrap>-0.08\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.01)</TD></TR>
  <TR>
    <TD class="l data">Market Maker Revenues - Cents</TD>
    <TD class="l data" noWrap>-1.24</TD>
    <TD class="l data" noWrap>-1.30</TD>
    <TD class="l data" noWrap>-0.86</TD>
    <TD class="l data" noWrap>-0.44</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.70)</TD></TR>
  <TR>
    <TD class="l data">Hedge Cost - Cents</TD>
    <TD class="l data">6.48</TD>
    <TD class="l data">6.85</TD>
    <TD class="l data">5.47</TD>
    <TD class="l data">1.39</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">&amp; (0.86)</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">&nbsp;</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX12></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 6:Execution Quality, Auctions and PFOF 
      DMMs (Pseudo Data) - PANEL A</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>Quoted Spread</TH>
    <TH class="c header" scope=col>Effective Spread</TH>
    <TH class="c header" scope=col>Price Improvement</TH>
    <TH class="c header" scope=col>EQ</TH>
    <TH class="c header" scope=col>Market Maker Revenues</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Auction</TD>
    <TD class="l data">2.361\threeS</TD>
    <TD class="l data" noWrap>-3.667\threeS</TD>
    <TD class="l data">6.028\threeS</TD>
    <TD class="l data" noWrap>-0.408\threeS</TD>
    <TD class="l data" noWrap>-3.737\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.213)</TD>
    <TD class="l data">(0.290)</TD>
    <TD class="l data">(0.471)</TD>
    <TD class="l data">(0.008)</TD>
    <TD class="l data">(0.282)</TD></TR>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data" noWrap>-0.934\threeS</TD>
    <TD class="l data">1.695\threeS</TD>
    <TD class="l data" noWrap>-2.630\threeS</TD>
    <TD class="l data">0.127\threeS</TD>
    <TD class="l data">1.783\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.260)</TD>
    <TD class="l data">(0.225)</TD>
    <TD class="l data">(0.310)</TD>
    <TD class="l data">(0.007)</TD>
    <TD class="l data">(0.217)</TD></TR>
  <TR>
    <TD class="l data">Auction $\times$ PFOF</TD>
    <TD class="l data">1.879\threeS</TD>
    <TD class="l data" noWrap>-2.578\threeS</TD>
    <TD class="l data">4.457\threeS</TD>
    <TD class="l data" noWrap>-0.199\threeS</TD>
    <TD class="l data" noWrap>-2.701\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.365)</TD>
    <TD class="l data">(0.251)</TD>
    <TD class="l data">(0.449)</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="l data">(0.251)</TD></TR>
  <TR>
    <TD class="l data">DMMP</TD>
    <TD class="l data" noWrap>-1.547\threeS</TD>
    <TD class="l data">1.221\threeS</TD>
    <TD class="l data" noWrap>-2.769\threeS</TD>
    <TD class="l data">0.134\threeS</TD>
    <TD class="l data">1.229\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.234)</TD>
    <TD class="l data">(0.163)</TD>
    <TD class="l data">(0.295)</TD>
    <TD class="l data">(0.011)</TD>
    <TD class="l data">(0.157)</TD></TR>
  <TR>
    <TD class="l data">$\vert$Delta$\vert$</TD>
    <TD class="l data">40.804\threeS</TD>
    <TD class="l data">21.818\threeS</TD>
    <TD class="l data">18.985\threeS</TD>
    <TD class="l data" noWrap>-0.039\threeS</TD>
    <TD class="l data">8.930\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(4.213)</TD>
    <TD class="l data">(2.295)</TD>
    <TD class="l data">(1.938)</TD>
    <TD class="l data">(0.007)</TD>
    <TD class="l data">(2.025)</TD></TR>
  <TR>
    <TD class="l data">Gamma</TD>
    <TD class="l data" noWrap>-96.835\twoS</TD>
    <TD class="l data" noWrap>-48.442\twoS</TD>
    <TD class="l data" noWrap>-48.393\twoS</TD>
    <TD class="l data">0.441\threeS</TD>
    <TD class="l data" noWrap>-53.847\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(39.958)</TD>
    <TD class="l data">(20.469)</TD>
    <TD class="l data">(19.904)</TD>
    <TD class="l data">(0.117)</TD>
    <TD class="l data">(23.751)</TD></TR>
  <TR>
    <TD class="l data">Vega</TD>
    <TD class="l data">52.642\threeS</TD>
    <TD class="l data">29.940\threeS</TD>
    <TD class="l data">22.702\threeS</TD>
    <TD class="l data">0.013\threeS</TD>
    <TD class="l data">22.626\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(6.082)</TD>
    <TD class="l data">(3.686)</TD>
    <TD class="l data">(2.579)</TD>
    <TD class="l data">(0.005)</TD>
    <TD class="l data">(3.285)</TD></TR>
  <TR>
    <TD class="l data">Underlying Volatility$_{t-1}$</TD>
    <TD class="l data">13.795\threeS</TD>
    <TD class="l data">8.566\threeS</TD>
    <TD class="l data">5.228\threeS</TD>
    <TD class="l data">0.029\threeS</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(3.246)</TD>
    <TD class="l data">(1.541)</TD>
    <TD class="l data">(1.712)</TD>
    <TD class="l data">(0.009)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Underlying Quoted Spr.</TD>
    <TD class="l data">0.406\threeS</TD>
    <TD class="l data">0.216\threeS</TD>
    <TD class="l data">0.190\threeS</TD>
    <TD class="l data">0.000</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.054)</TD>
    <TD class="l data">(0.029)</TD>
    <TD class="l data">(0.025)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">1/Option Midpoint</TD>
    <TD class="l data">2.279\threeS</TD>
    <TD class="l data">1.260\threeS</TD>
    <TD class="l data">1.019\threeS</TD>
    <TD class="l data">0.001</TD>
    <TD class="l data">1.262\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.392)</TD>
    <TD class="l data">(0.232)</TD>
    <TD class="l data">(0.165)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.251)</TD></TR>
  <TR>
    <TD class="l data">1/Underlying Midpoint</TD>
    <TD class="l data" noWrap>-5600.59\threeS</TD>
    <TD class="l data" noWrap>-5694.15\threeS</TD>
    <TD class="l data">93.561</TD>
    <TD class="l data" noWrap>-28.113\twoS</TD>
    <TD class="l data" noWrap>-5485.90\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1706.514)</TD>
    <TD class="l data">(1845.166)</TD>
    <TD class="l data">(935.028)</TD>
    <TD class="l data">(13.353)</TD>
    <TD class="l data">(1714.940)</TD></TR>
  <TR>
    <TD class="l data">Underlying MCAP</TD>
    <TD class="l data">18.367</TD>
    <TD class="l data">8.529</TD>
    <TD class="l data">9.838\oneS</TD>
    <TD class="l data" noWrap>-0.027</TD>
    <TD class="l data">15.944</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(9.661)</TD>
    <TD class="l data">(7.186)</TD>
    <TD class="l data">(4.324)</TD>
    <TD class="l data">(0.043)</TD>
    <TD class="l data">(7.829)</TD></TR>
  <TR>
    <TD class="l data">Trade size</TD>
    <TD class="l data">0.142\oneS</TD>
    <TD class="l data">0.197\threeS</TD>
    <TD class="l data" noWrap>-0.055\oneS</TD>
    <TD class="l data">0.009\threeS</TD>
    <TD class="l data">0.207\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.079)</TD>
    <TD class="l data">(0.064)</TD>
    <TD class="l data">(0.032)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.060)</TD></TR>
  <TR>
    <TD class="l data">Call</TD>
    <TD class="l data" noWrap>-1.866\threeS</TD>
    <TD class="l data" noWrap>-1.384\threeS</TD>
    <TD class="l data" noWrap>-0.482\threeS</TD>
    <TD class="l data" noWrap>-0.009\threeS</TD>
    <TD class="l data" noWrap>-1.380\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.307)</TD>
    <TD class="l data">(0.190)</TD>
    <TD class="l data">(0.162)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.181)</TD></TR>
  <TR>
    <TD class="l data">Days-to-Expiry</TD>
    <TD class="l data">0.731</TD>
    <TD class="l data">0.125</TD>
    <TD class="l data">0.606</TD>
    <TD class="l data" noWrap>-0.009\threeS</TD>
    <TD class="l data" noWrap>-0.485</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1.148)</TD>
    <TD class="l data">(0.580)</TD>
    <TD class="l data">(0.584)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.609)</TD></TR>
  <TR>
    <TD class="l data">Tick Size</TD>
    <TD class="l data">9.816\threeS</TD>
    <TD class="l data">5.294\threeS</TD>
    <TD class="l data">4.522\threeS</TD>
    <TD class="l data" noWrap>-0.015\threeS</TD>
    <TD class="l data">5.518\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1.288)</TD>
    <TD class="l data">(0.676)</TD>
    <TD class="l data">(0.624)</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.716)</TD></TR>
  <TR>
    <TD class="l data">Buy</TD>
    <TD class="l data">0.107</TD>
    <TD class="l data">0.045</TD>
    <TD class="l data">0.062</TD>
    <TD class="l data" noWrap>-0.004\oneS</TD>
    <TD class="l data">0.029</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.125)</TD>
    <TD class="l data">(0.110)</TD>
    <TD class="l data">(0.091)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.113)</TD></TR>
  <TR>
    <TD class="l data">Rsq</TD>
    <TD class="l data">0.366</TD>
    <TD class="l data">0.310</TD>
    <TD class="l data">0.182</TD>
    <TD class="l data">0.297</TD>
    <TD class="l data">0.170</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents regression results for 
      execution quality using pseudo OPRA data.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX13></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 6:Execution Quality, Auctions and PFOF 
      DMMs (Pseudo Data) - PANEL B</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>Quoted Spread</TH>
    <TH class="c header" scope=col>Effective Spread</TH>
    <TH class="c header" scope=col>Price Improvement</TH>
    <TH class="c header" scope=col>EQ</TH>
    <TH class="c header" scope=col>Market Maker Revenues</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Auction</TD>
    <TD class="l data">1.572\threeS</TD>
    <TD class="l data" noWrap>-3.680\threeS</TD>
    <TD class="l data">5.253\threeS</TD>
    <TD class="l data" noWrap>-0.374\threeS</TD>
    <TD class="l data" noWrap>-3.773\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.240)</TD>
    <TD class="l data">(0.323)</TD>
    <TD class="l data">(0.449)</TD>
    <TD class="l data">(0.010)</TD>
    <TD class="l data">(0.312)</TD></TR>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data" noWrap>-1.685\threeS</TD>
    <TD class="l data">1.901\threeS</TD>
    <TD class="l data" noWrap>-3.586\threeS</TD>
    <TD class="l data">0.185\threeS</TD>
    <TD class="l data">1.934\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.282)</TD>
    <TD class="l data">(0.149)</TD>
    <TD class="l data">(0.279)</TD>
    <TD class="l data">(0.008)</TD>
    <TD class="l data">(0.149)</TD></TR>
  <TR>
    <TD class="l data">Auction $\times$ PFOF</TD>
    <TD class="l data">2.292\threeS</TD>
    <TD class="l data" noWrap>-2.602\threeS</TD>
    <TD class="l data">4.894\threeS</TD>
    <TD class="l data" noWrap>-0.237\threeS</TD>
    <TD class="l data" noWrap>-2.781\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.447)</TD>
    <TD class="l data">(0.279)</TD>
    <TD class="l data">(0.550)</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="l data">(0.302)</TD></TR>
  <TR>
    <TD class="l data">DMMP</TD>
    <TD class="l data" noWrap>-1.276\threeS</TD>
    <TD class="l data">0.399\threeS</TD>
    <TD class="l data" noWrap>-1.675\threeS</TD>
    <TD class="l data">0.059\threeS</TD>
    <TD class="l data">0.399\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.305)</TD>
    <TD class="l data">(0.107)</TD>
    <TD class="l data">(0.343)</TD>
    <TD class="l data">(0.010)</TD>
    <TD class="l data">(0.106)</TD></TR>
  <TR>
    <TD class="l data">$\vert$Delta$\vert$</TD>
    <TD class="l data">40.937\threeS</TD>
    <TD class="l data">21.456\threeS</TD>
    <TD class="l data">19.481\threeS</TD>
    <TD class="l data" noWrap>-0.065\threeS</TD>
    <TD class="l data">8.771\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(4.449)</TD>
    <TD class="l data">(2.493)</TD>
    <TD class="l data">(2.003)</TD>
    <TD class="l data">(0.005)</TD>
    <TD class="l data">(2.483)</TD></TR>
  <TR>
    <TD class="l data">Gamma</TD>
    <TD class="l data" noWrap>-114.526\twoS</TD>
    <TD class="l data" noWrap>-61.450\threeS</TD>
    <TD class="l data" noWrap>-53.076\twoS</TD>
    <TD class="l data">0.244\twoS</TD>
    <TD class="l data" noWrap>-69.510\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(43.841)</TD>
    <TD class="l data">(21.854)</TD>
    <TD class="l data">(22.687)</TD>
    <TD class="l data">(0.094)</TD>
    <TD class="l data">(26.517)</TD></TR>
  <TR>
    <TD class="l data">Vega</TD>
    <TD class="l data">52.023\threeS</TD>
    <TD class="l data">31.616\threeS</TD>
    <TD class="l data">20.408\threeS</TD>
    <TD class="l data">0.013\twoS</TD>
    <TD class="l data">24.790\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(5.690)</TD>
    <TD class="l data">(3.812)</TD>
    <TD class="l data">(2.194)</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="l data">(3.477)</TD></TR>
  <TR>
    <TD class="l data">Underlying Volatility$_{t-1}$</TD>
    <TD class="l data">12.269\threeS</TD>
    <TD class="l data">7.870\threeS</TD>
    <TD class="l data">4.399\threeS</TD>
    <TD class="l data">0.012\twoS</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(2.065)</TD>
    <TD class="l data">(1.091)</TD>
    <TD class="l data">(1.030)</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Underlying Quoted Spr.</TD>
    <TD class="l data">0.442\threeS</TD>
    <TD class="l data">0.215\threeS</TD>
    <TD class="l data">0.227\threeS</TD>
    <TD class="l data" noWrap>-0.001\threeS</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.068)</TD>
    <TD class="l data">(0.036)</TD>
    <TD class="l data">(0.032)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">1/Option Midpoint</TD>
    <TD class="l data">2.167\threeS</TD>
    <TD class="l data">1.250\threeS</TD>
    <TD class="l data">0.917\threeS</TD>
    <TD class="l data">0.002</TD>
    <TD class="l data">1.227\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.415)</TD>
    <TD class="l data">(0.261)</TD>
    <TD class="l data">(0.165)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.278)</TD></TR>
  <TR>
    <TD class="l data">1/Underlying Midpoint</TD>
    <TD class="l data" noWrap>-5069.26\threeS</TD>
    <TD class="l data" noWrap>-3751.81\threeS</TD>
    <TD class="l data" noWrap>-1317.45</TD>
    <TD class="l data" noWrap>-15.553\twoS</TD>
    <TD class="l data" noWrap>-3629.55\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1551.374)</TD>
    <TD class="l data">(958.394)</TD>
    <TD class="l data">(980.403)</TD>
    <TD class="l data">(6.431)</TD>
    <TD class="l data">(681.348)</TD></TR>
  <TR>
    <TD class="l data">Underlying MCAP</TD>
    <TD class="l data">21.158\oneS</TD>
    <TD class="l data">8.782</TD>
    <TD class="l data">12.376\twoS</TD>
    <TD class="l data" noWrap>-0.064</TD>
    <TD class="l data">16.054\oneS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(8.686)</TD>
    <TD class="l data">(6.521)</TD>
    <TD class="l data">(4.355)</TD>
    <TD class="l data">(0.037)</TD>
    <TD class="l data">(6.818)</TD></TR>
  <TR>
    <TD class="l data">Trade size</TD>
    <TD class="l data">0.058</TD>
    <TD class="l data">0.221\threeS</TD>
    <TD class="l data" noWrap>-0.163\threeS</TD>
    <TD class="l data">0.012\threeS</TD>
    <TD class="l data">0.249\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.059)</TD>
    <TD class="l data">(0.060)</TD>
    <TD class="l data">(0.057)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.062)</TD></TR>
  <TR>
    <TD class="l data">Call</TD>
    <TD class="l data" noWrap>-1.790\threeS</TD>
    <TD class="l data" noWrap>-1.272\threeS</TD>
    <TD class="l data" noWrap>-0.518\threeS</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data" noWrap>-1.276\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.326)</TD>
    <TD class="l data">(0.191)</TD>
    <TD class="l data">(0.150)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.184)</TD></TR>
  <TR>
    <TD class="l data">Days-to-Expiry</TD>
    <TD class="l data">0.541</TD>
    <TD class="l data" noWrap>-0.170</TD>
    <TD class="l data">0.710</TD>
    <TD class="l data" noWrap>-0.012\threeS</TD>
    <TD class="l data" noWrap>-0.811</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1.278)</TD>
    <TD class="l data">(0.650)</TD>
    <TD class="l data">(0.655)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.694)</TD></TR>
  <TR>
    <TD class="l data">Tick Size</TD>
    <TD class="l data">9.726\threeS</TD>
    <TD class="l data">5.733\threeS</TD>
    <TD class="l data">3.993\threeS</TD>
    <TD class="l data" noWrap>-0.003</TD>
    <TD class="l data">5.962\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1.430)</TD>
    <TD class="l data">(0.800)</TD>
    <TD class="l data">(0.649)</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.824)</TD></TR>
  <TR>
    <TD class="l data">Buy</TD>
    <TD class="l data">0.164</TD>
    <TD class="l data">0.044</TD>
    <TD class="l data">0.119</TD>
    <TD class="l data" noWrap>-0.002</TD>
    <TD class="l data">0.020</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.122)</TD>
    <TD class="l data">(0.104)</TD>
    <TD class="l data">(0.094)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.113)</TD></TR>
  <TR>
    <TD class="l data">Rsq</TD>
    <TD class="l data">0.367</TD>
    <TD class="l data">0.315</TD>
    <TD class="l data">0.194</TD>
    <TD class="l data">0.449</TD>
    <TD class="l data">0.185</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">494022.0</TD>
    <TD class="l data">494022.0</TD>
    <TD class="l data">494022.0</TD>
    <TD class="l data">494022.0</TD>
    <TD class="l data">494022.0</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents regression results for 
      execution quality using pseudo OPRA data.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX14></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">Appendix TABLE A4 - PANEL 
A</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>Quoted Spread</TH>
    <TH class="c header" scope=col>Effective Spread</TH>
    <TH class="c header" scope=col>Price Improvement</TH>
    <TH class="c header" scope=col>Market Maker Revenues</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Auction</TD>
    <TD class="l data">0.330\threeS</TD>
    <TD class="l data" noWrap>-0.384\threeS</TD>
    <TD class="l data">0.714\threeS</TD>
    <TD class="l data" noWrap>-0.397\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.032)</TD>
    <TD class="l data">(0.041)</TD>
    <TD class="l data">(0.038)</TD>
    <TD class="l data">(0.042)</TD></TR>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data">0.146\threeS</TD>
    <TD class="l data">0.322\threeS</TD>
    <TD class="l data" noWrap>-0.176\threeS</TD>
    <TD class="l data">0.300\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.052)</TD>
    <TD class="l data">(0.042)</TD>
    <TD class="l data">(0.028)</TD>
    <TD class="l data">(0.043)</TD></TR>
  <TR>
    <TD class="l data">Auction $\times$ PFOF</TD>
    <TD class="l data" noWrap>-0.027</TD>
    <TD class="l data" noWrap>-0.431\threeS</TD>
    <TD class="l data">0.404\threeS</TD>
    <TD class="l data" noWrap>-0.417\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.046)</TD>
    <TD class="l data">(0.045)</TD>
    <TD class="l data">(0.022)</TD>
    <TD class="l data">(0.045)</TD></TR>
  <TR>
    <TD class="l data">DMMP</TD>
    <TD class="l data" noWrap>-0.160\threeS</TD>
    <TD class="l data">0.111\threeS</TD>
    <TD class="l data" noWrap>-0.271\threeS</TD>
    <TD class="l data">0.121\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.028)</TD>
    <TD class="l data">(0.018)</TD>
    <TD class="l data">(0.034)</TD>
    <TD class="l data">(0.020)</TD></TR>
  <TR>
    <TD class="l data">$\vert$Delta$\vert$</TD>
    <TD class="l data" noWrap>-1.847\threeS</TD>
    <TD class="l data" noWrap>-1.100\threeS</TD>
    <TD class="l data" noWrap>-0.748\threeS</TD>
    <TD class="l data" noWrap>-0.081</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.094)</TD>
    <TD class="l data">(0.066)</TD>
    <TD class="l data">(0.033)</TD>
    <TD class="l data">(0.203)</TD></TR>
  <TR>
    <TD class="l data">Gamma</TD>
    <TD class="l data">26.865\threeS</TD>
    <TD class="l data">18.677\threeS</TD>
    <TD class="l data">8.188\threeS</TD>
    <TD class="l data" noWrap>-11.183</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(4.031)</TD>
    <TD class="l data">(3.396)</TD>
    <TD class="l data">(1.213)</TD>
    <TD class="l data">(8.343)</TD></TR>
  <TR>
    <TD class="l data">Vega</TD>
    <TD class="l data" noWrap>-2.193\threeS</TD>
    <TD class="l data" noWrap>-1.469\threeS</TD>
    <TD class="l data" noWrap>-0.724\threeS</TD>
    <TD class="l data" noWrap>-1.364\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.204)</TD>
    <TD class="l data">(0.163)</TD>
    <TD class="l data">(0.104)</TD>
    <TD class="l data">(0.205)</TD></TR>
  <TR>
    <TD class="l data">Underlying Volatility$_{t-1}$</TD>
    <TD class="l data">1.179\threeS</TD>
    <TD class="l data">0.764\threeS</TD>
    <TD class="l data">0.415\threeS</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.229)</TD>
    <TD class="l data">(0.141)</TD>
    <TD class="l data">(0.092)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Underlying Quoted Spr.</TD>
    <TD class="l data">0.038\threeS</TD>
    <TD class="l data">0.021\threeS</TD>
    <TD class="l data">0.017\threeS</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">1/Underlying Midpoint</TD>
    <TD class="l data" noWrap>-855.542\threeS</TD>
    <TD class="l data" noWrap>-782.176\threeS</TD>
    <TD class="l data" noWrap>-73.366</TD>
    <TD class="l data" noWrap>-1135.59\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(254.692)</TD>
    <TD class="l data">(234.945)</TD>
    <TD class="l data">(164.429)</TD>
    <TD class="l data">(255.835)</TD></TR>
  <TR>
    <TD class="l data">Underlying MCAP</TD>
    <TD class="l data">3.996\threeS</TD>
    <TD class="l data">2.607\twoS</TD>
    <TD class="l data">1.389\twoS</TD>
    <TD class="l data">3.988\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1.183)</TD>
    <TD class="l data">(0.992)</TD>
    <TD class="l data">(0.534)</TD>
    <TD class="l data">(1.087)</TD></TR>
  <TR>
    <TD class="l data">Trade size</TD>
    <TD class="l data">0.051\threeS</TD>
    <TD class="l data">0.062\threeS</TD>
    <TD class="l data" noWrap>-0.011\oneS</TD>
    <TD class="l data">0.065\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.014)</TD>
    <TD class="l data">(0.012)</TD>
    <TD class="l data">(0.005)</TD>
    <TD class="l data">(0.012)</TD></TR>
  <TR>
    <TD class="l data">Call</TD>
    <TD class="l data" noWrap>-0.212\threeS</TD>
    <TD class="l data" noWrap>-0.174\threeS</TD>
    <TD class="l data" noWrap>-0.039\threeS</TD>
    <TD class="l data" noWrap>-0.407\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.050)</TD>
    <TD class="l data">(0.041)</TD>
    <TD class="l data">(0.014)</TD>
    <TD class="l data">(0.089)</TD></TR>
  <TR>
    <TD class="l data">Days-to-Expiry</TD>
    <TD class="l data">0.517\threeS</TD>
    <TD class="l data">0.337\threeS</TD>
    <TD class="l data">0.180\threeS</TD>
    <TD class="l data">0.359\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.103)</TD>
    <TD class="l data">(0.074)</TD>
    <TD class="l data">(0.042)</TD>
    <TD class="l data">(0.088)</TD></TR>
  <TR>
    <TD class="l data">Tick Size</TD>
    <TD class="l data">2.075\threeS</TD>
    <TD class="l data">1.212\threeS</TD>
    <TD class="l data">0.862\threeS</TD>
    <TD class="l data">0.853\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.178)</TD>
    <TD class="l data">(0.121)</TD>
    <TD class="l data">(0.072)</TD>
    <TD class="l data">(0.129)</TD></TR>
  <TR>
    <TD class="l data">Buy</TD>
    <TD class="l data">0.059\twoS</TD>
    <TD class="l data">0.050\twoS</TD>
    <TD class="l data">0.008</TD>
    <TD class="l data">0.046\oneS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.022)</TD>
    <TD class="l data">(0.024)</TD>
    <TD class="l data">(0.008)</TD>
    <TD class="l data">(0.025)</TD></TR>
  <TR>
    <TD class="l data">Rsq</TD>
    <TD class="l data">0.220</TD>
    <TD class="l data">0.162</TD>
    <TD class="l data">0.141</TD>
    <TD class="l data">0.123</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">&nbsp;</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX15></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">Appendix TABLE A4 - PANEL 
B</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>Quoted Spread</TH>
    <TH class="c header" scope=col>Effective Spread</TH>
    <TH class="c header" scope=col>Price Improvement</TH>
    <TH class="c header" scope=col>EQ</TH>
    <TH class="c header" scope=col>Market Maker Revenues</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">Auction</TD>
    <TD class="l data">0.216\threeS</TD>
    <TD class="l data" noWrap>-0.392\threeS</TD>
    <TD class="l data">0.608\threeS</TD>
    <TD class="l data" noWrap>-0.374\threeS</TD>
    <TD class="l data" noWrap>-0.406\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.033)</TD>
    <TD class="l data">(0.047)</TD>
    <TD class="l data">(0.029)</TD>
    <TD class="l data">(0.010)</TD>
    <TD class="l data">(0.050)</TD></TR>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data" noWrap>-0.020</TD>
    <TD class="l data">0.278\threeS</TD>
    <TD class="l data" noWrap>-0.298\threeS</TD>
    <TD class="l data">0.185\threeS</TD>
    <TD class="l data">0.264\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.024)</TD>
    <TD class="l data">(0.029)</TD>
    <TD class="l data">(0.020)</TD>
    <TD class="l data">(0.008)</TD>
    <TD class="l data">(0.027)</TD></TR>
  <TR>
    <TD class="l data">Auction $\times$ PFOF</TD>
    <TD class="l data">0.064\oneS</TD>
    <TD class="l data" noWrap>-0.360\threeS</TD>
    <TD class="l data">0.424\threeS</TD>
    <TD class="l data" noWrap>-0.237\threeS</TD>
    <TD class="l data" noWrap>-0.358\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.038)</TD>
    <TD class="l data">(0.029)</TD>
    <TD class="l data">(0.045)</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="l data">(0.029)</TD></TR>
  <TR>
    <TD class="l data">DMMP</TD>
    <TD class="l data" noWrap>-0.095\threeS</TD>
    <TD class="l data">0.052\threeS</TD>
    <TD class="l data" noWrap>-0.148\threeS</TD>
    <TD class="l data">0.059\threeS</TD>
    <TD class="l data">0.064\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.017)</TD>
    <TD class="l data">(0.016)</TD>
    <TD class="l data">(0.024)</TD>
    <TD class="l data">(0.010)</TD>
    <TD class="l data">(0.016)</TD></TR>
  <TR>
    <TD class="l data">$\vert$Delta$\vert$</TD>
    <TD class="l data" noWrap>-1.799\threeS</TD>
    <TD class="l data" noWrap>-1.114\threeS</TD>
    <TD class="l data" noWrap>-0.685\threeS</TD>
    <TD class="l data" noWrap>-0.065\threeS</TD>
    <TD class="l data" noWrap>-0.202</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.072)</TD>
    <TD class="l data">(0.042)</TD>
    <TD class="l data">(0.038)</TD>
    <TD class="l data">(0.005)</TD>
    <TD class="l data">(0.195)</TD></TR>
  <TR>
    <TD class="l data">Gamma</TD>
    <TD class="l data">26.761\threeS</TD>
    <TD class="l data">17.965\threeS</TD>
    <TD class="l data">8.796\threeS</TD>
    <TD class="l data">0.244\twoS</TD>
    <TD class="l data" noWrap>-7.615</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(4.159)</TD>
    <TD class="l data">(3.564)</TD>
    <TD class="l data">(1.180)</TD>
    <TD class="l data">(0.094)</TD>
    <TD class="l data">(7.456)</TD></TR>
  <TR>
    <TD class="l data">Vega</TD>
    <TD class="l data" noWrap>-2.019\threeS</TD>
    <TD class="l data" noWrap>-1.372\threeS</TD>
    <TD class="l data" noWrap>-0.647\threeS</TD>
    <TD class="l data">0.013\twoS</TD>
    <TD class="l data" noWrap>-1.322\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.267)</TD>
    <TD class="l data">(0.164)</TD>
    <TD class="l data">(0.141)</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="l data">(0.213)</TD></TR>
  <TR>
    <TD class="l data">Underlying Volatility$_{t-1}$</TD>
    <TD class="l data">0.989\threeS</TD>
    <TD class="l data">0.660\threeS</TD>
    <TD class="l data">0.329\threeS</TD>
    <TD class="l data">0.012\twoS</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.136)</TD>
    <TD class="l data">(0.103)</TD>
    <TD class="l data">(0.062)</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Underlying Quoted Spr.</TD>
    <TD class="l data">0.037\threeS</TD>
    <TD class="l data">0.019\threeS</TD>
    <TD class="l data">0.019\threeS</TD>
    <TD class="l data" noWrap>-0.001\threeS</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">1/Underlying Midpoint</TD>
    <TD class="l data" noWrap>-942.967\twoS</TD>
    <TD class="l data" noWrap>-676.709\twoS</TD>
    <TD class="l data" noWrap>-266.258\oneS</TD>
    <TD class="l data" noWrap>-15.553\twoS</TD>
    <TD class="l data" noWrap>-1046.50\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(416.871)</TD>
    <TD class="l data">(276.233)</TD>
    <TD class="l data">(150.444)</TD>
    <TD class="l data">(6.431)</TD>
    <TD class="l data">(329.299)</TD></TR>
  <TR>
    <TD class="l data">Underlying MCAP</TD>
    <TD class="l data">2.971</TD>
    <TD class="l data">1.914</TD>
    <TD class="l data">1.057</TD>
    <TD class="l data" noWrap>-0.064</TD>
    <TD class="l data">4.204\oneS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1.665)</TD>
    <TD class="l data">(1.113)</TD>
    <TD class="l data">(0.908)</TD>
    <TD class="l data">(0.037)</TD>
    <TD class="l data">(1.783)</TD></TR>
  <TR>
    <TD class="l data">Trade size</TD>
    <TD class="l data">0.045\twoS</TD>
    <TD class="l data">0.060\threeS</TD>
    <TD class="l data" noWrap>-0.014</TD>
    <TD class="l data">0.012\threeS</TD>
    <TD class="l data">0.062\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.017)</TD>
    <TD class="l data">(0.013)</TD>
    <TD class="l data">(0.009)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.013)</TD></TR>
  <TR>
    <TD class="l data">Call</TD>
    <TD class="l data" noWrap>-0.244\threeS</TD>
    <TD class="l data" noWrap>-0.163\threeS</TD>
    <TD class="l data" noWrap>-0.081\threeS</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data" noWrap>-0.413\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.060)</TD>
    <TD class="l data">(0.041)</TD>
    <TD class="l data">(0.026)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.093)</TD></TR>
  <TR>
    <TD class="l data">Days-to-Expiry</TD>
    <TD class="l data">0.529\threeS</TD>
    <TD class="l data">0.350\threeS</TD>
    <TD class="l data">0.179\threeS</TD>
    <TD class="l data" noWrap>-0.012\threeS</TD>
    <TD class="l data">0.397\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.123)</TD>
    <TD class="l data">(0.081)</TD>
    <TD class="l data">(0.052)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.095)</TD></TR>
  <TR>
    <TD class="l data">Tick Size</TD>
    <TD class="l data">1.982\threeS</TD>
    <TD class="l data">1.123\threeS</TD>
    <TD class="l data">0.859\threeS</TD>
    <TD class="l data" noWrap>-0.003</TD>
    <TD class="l data">0.769\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.143)</TD>
    <TD class="l data">(0.102)</TD>
    <TD class="l data">(0.051)</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.114)</TD></TR>
  <TR>
    <TD class="l data">Buy</TD>
    <TD class="l data">0.050\threeS</TD>
    <TD class="l data">0.039\oneS</TD>
    <TD class="l data">0.011\oneS</TD>
    <TD class="l data" noWrap>-0.002</TD>
    <TD class="l data">0.038</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.018)</TD>
    <TD class="l data">(0.021)</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.022)</TD></TR>
  <TR>
    <TD class="l data">Rsq</TD>
    <TD class="l data">0.214</TD>
    <TD class="l data">0.153</TD>
    <TD class="l data">0.170</TD>
    <TD class="l data">0.449</TD>
    <TD class="l data">0.126</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">494022.0</TD>
    <TD class="l data">494022.0</TD>
    <TD class="l data">494022.0</TD>
    <TD class="l data">494022.0</TD>
    <TD class="l data">494022.0</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">&nbsp;</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX16></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 7: PFOF Volume (Pseudo Data) - Panel A 
  </TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>All</TH>
    <TH class="c header" scope=col>AUCTION</TH>
    <TH class="c header" scope=col>Continuous</TH>
    <TH class="c header" scope=col>SMALL-AUCTION</TH>
    <TH class="c header" scope=col>SMALL-Continuous</TH>
    <TH class="c header" scope=col>LARGE_AUCTION</TH>
    <TH class="c header" scope=col>LARGE_LOB</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">YES</TD>
    <TD class="r data">36.28</TD>
    <TD class="r data">22.86</TD>
    <TD class="r data">13.42</TD>
    <TD class="r data">8.83</TD>
    <TD class="r data">7.38</TD>
    <TD class="r data">14.03</TD>
    <TD class="r data">6.04</TD></TR>
  <TR>
    <TD class="l data">NO</TD>
    <TD class="r data">63.72</TD>
    <TD class="r data">9.79</TD>
    <TD class="r data">53.92</TD>
    <TD class="r data">4.29</TD>
    <TD class="r data">26.36</TD>
    <TD class="r data">5.50</TD>
    <TD class="r data">27.57</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents distribution and regression 
      results for PFOF versus Non-PFOF option volume using pseudo OPRA 
  data.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX17></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 7: PFOF Volume (Pseudo Data) - Panel B - 
      All Trades</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>All</TH>
    <TH class="c header" scope=col>Contract &lt;=5</TH>
    <TH class="c header" scope=col>Contract &gt;5</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data">2.121\threeS</TD>
    <TD class="l data">1.801\twoS</TD>
    <TD class="l data">2.509\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.672)</TD>
    <TD class="l data">(0.688)</TD>
    <TD class="l data">(0.850)</TD></TR>
  <TR>
    <TD class="l data">DMMP</TD>
    <TD class="l data" noWrap>-2.284\threeS</TD>
    <TD class="l data" noWrap>-2.295\threeS</TD>
    <TD class="l data" noWrap>-2.359\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.546)</TD>
    <TD class="l data">(0.535)</TD>
    <TD class="l data">(0.790)</TD></TR>
  <TR>
    <TD class="l data">\multicolumn{1}{l}{R\textsuperscript{2}}</TD>
    <TD class="l data">0.012\threeS</TD>
    <TD class="l data">0.012\threeS</TD>
    <TD class="l data">0.007\threeS</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">768.000</TD>
    <TD class="l data">768.000</TD>
    <TD class="l data">768.000</TD></TR>
  <TR>
    <TD class="l data">Stock Fixed</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents distribution of volume and 
      regression results for PFOF versus Non-PFOF option volume using pseudo 
      OPRA data.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX18></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 7: PFOF Volume (Pseudo Data) Panel C - 
      Auctions</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>All</TH>
    <TH class="c header" scope=col>Contract &lt;=5</TH>
    <TH class="c header" scope=col>Contract &gt;5</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data">7.622\threeS</TD>
    <TD class="l data">6.692\threeS</TD>
    <TD class="l data">7.466\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1.389)</TD>
    <TD class="l data">(1.264)</TD>
    <TD class="l data">(2.001)</TD></TR>
  <TR>
    <TD class="l data">DMMP</TD>
    <TD class="l data">4.106\threeS</TD>
    <TD class="l data">4.174\threeS</TD>
    <TD class="l data">5.199\oneS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(1.002)</TD>
    <TD class="l data">(0.998)</TD>
    <TD class="l data">(1.249)</TD></TR>
  <TR>
    <TD class="l data">RSq</TD>
    <TD class="l data">0.092</TD>
    <TD class="l data">0.087</TD>
    <TD class="l data">0.068</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">480.000</TD>
    <TD class="l data">480.000</TD>
    <TD class="l data">480.000</TD></TR>
  <TR>
    <TD class="l data">Stock Fixed</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents distribution of volume and 
      regression results for PFOF versus Non-PFOF option volume using pseudo 
      OPRA data.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX19></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 7: PFOF Volume (Pseudo Data) - Panel D - 
      Continuous Trading</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>All</TH>
    <TH class="c header" scope=col>Contract &lt;=5</TH>
    <TH class="c header" scope=col>Contract &gt;5</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data">0.454</TD>
    <TD class="l data">0.511</TD>
    <TD class="l data">0.737</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.671)</TD>
    <TD class="l data">(0.712)</TD>
    <TD class="l data">(0.833)</TD></TR>
  <TR>
    <TD class="l data">DMMP</TD>
    <TD class="l data" noWrap>-5.021\threeS</TD>
    <TD class="l data" noWrap>-4.923\threeS</TD>
    <TD class="l data" noWrap>-5.347\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.592)</TD>
    <TD class="l data">(0.596)</TD>
    <TD class="l data">(0.736)</TD></TR>
  <TR>
    <TD class="l data">RSq</TD>
    <TD class="l data">0.057</TD>
    <TD class="l data">0.055</TD>
    <TD class="l data">0.037</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">768.000</TD>
    <TD class="l data">768.000</TD>
    <TD class="l data">768.000</TD></TR>
  <TR>
    <TD class="l data">Stock Fixed</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents distribution of volume and 
      regression results for PFOF versus Non-PFOF option volume using pseudo 
      OPRA data.</TD></TR></TBODY></TABLE><BR></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch></DIV>
<DIV class=branch>
<P style="PAGE-BREAK-AFTER: always"><BR></P>
<HR SIZE=3>
<A name=IDX20></A>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 8: Auction LPM (Pseudo 
Data)</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>REG1</TH>
    <TH class="c header" scope=col>REG2</TH>
    <TH class="c header" scope=col>REG3</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data">0.233\threeS</TD>
    <TD class="l data">0.233\threeS</TD>
    <TD class="l data">0.230\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.013)</TD>
    <TD class="l data">(0.013)</TD>
    <TD class="l data">(0.013)</TD></TR>
  <TR>
    <TD class="l data">Arbitrage$_{t-1}$</TD>
    <TD class="l data" noWrap>-0.115\threeS</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.114\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.014)</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.014)</TD></TR>
  <TR>
    <TD class="l data">Option Quoted Spread</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.009</TD>
    <TD class="l data">0.098\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.006)</TD>
    <TD class="l data">(0.008)</TD></TR>
  <TR>
    <TD class="l data">DMMP</TD>
    <TD class="l data">0.377\threeS</TD>
    <TD class="l data">0.377\threeS</TD>
    <TD class="l data">0.375\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.012)</TD>
    <TD class="l data">(0.012)</TD>
    <TD class="l data">(0.011)</TD></TR>
  <TR>
    <TD class="l data">$\vert$Delta$\vert$</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.108\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.009)</TD></TR>
  <TR>
    <TD class="l data">Gamma</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.279\oneS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.164)</TD></TR>
  <TR>
    <TD class="l data">Vega</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.067\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.014)</TD></TR>
  <TR>
    <TD class="l data">Underlying Quoted Spr.</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.002\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">1/Option Midpoint</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.004</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.003)</TD></TR>
  <TR>
    <TD class="l data">1/Underlying Midpoint</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">23.758</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(26.698)</TD></TR>
  <TR>
    <TD class="l data">Underlying MCAP</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.081</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.088)</TD></TR>
  <TR>
    <TD class="l data">Trade size</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.021\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.002)</TD></TR>
  <TR>
    <TD class="l data">Call</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.021\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.006)</TD></TR>
  <TR>
    <TD class="l data">Days-to-Expiry</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.025\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.006)</TD></TR>
  <TR>
    <TD class="l data">Tick Size</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.021\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.005)</TD></TR>
  <TR>
    <TD class="l data">Buy</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.003</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.003)</TD></TR>
  <TR>
    <TD class="l data">Rsq</TD>
    <TD class="l data">0.340</TD>
    <TD class="l data">0.339</TD>
    <TD class="l data">0.350</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD>
    <TD class="l data">1161488</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents results from a linear 
      probability model for auctions using pseudo 
OPRAdata.</TD></TR></TBODY></TABLE><BR></DIV>
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width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">TABLE 9: PFOF LPM: DMMs� Execution Quality 
      Comparison (Pseudo Data)</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>(2)</TH>
    <TH class="c header" scope=col>(3)</TH>
    <TH class="c header" scope=col>(4)</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">EQ Above Average$_{t-1}$</TD>
    <TD class="l data">0.001</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Price Improvement Below Average$_{t-1}$</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.001</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Auction Frequency Below Average$_{t-1}$</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.001</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.002)</TD></TR>
  <TR>
    <TD class="l data">Contract Purchases (\%)</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Option Quoted Spread</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Gamma</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.002)</TD></TR>
  <TR>
    <TD class="l data">Vega</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">$\vert$Delta$\vert$</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Trade size</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Underlying Quoted Spread</TD>
    <TD class="l data">0.003</TD>
    <TD class="l data">0.003</TD>
    <TD class="l data">0.003</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.003)</TD></TR>
  <TR>
    <TD class="l data">Call</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Tick Size</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Days-to-Expiry</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">1/Underlying Midpoint</TD>
    <TD class="l data" noWrap>-35.305\twoS</TD>
    <TD class="l data" noWrap>-35.454\twoS</TD>
    <TD class="l data" noWrap>-35.730\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(16.414)</TD>
    <TD class="l data">(16.432)</TD>
    <TD class="l data">(16.586)</TD></TR>
  <TR>
    <TD class="l data">1/Option Midpoint</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Underlying MCAP</TD>
    <TD class="l data" noWrap>-0.117\oneS</TD>
    <TD class="l data" noWrap>-0.117\twoS</TD>
    <TD class="l data" noWrap>-0.118\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.057)</TD>
    <TD class="l data">(0.057)</TD>
    <TD class="l data">(0.057)</TD></TR>
  <TR>
    <TD class="l data">Date FE</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">Underlying FE</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">RSq</TD>
    <TD class="l data">0.156</TD>
    <TD class="l data">0.156</TD>
    <TD class="l data">0.156</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">251600.0</TD>
    <TD class="l data">251600.0</TD>
    <TD class="l data">251600.0</TD></TR></TBODY></TABLE></DIV></DIV><BR>
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width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents results from a linear 
      probability model for auctions at exchanges where the designated market 
      maker (DMM) pays payment for orderflow (PFOF) using Rule 606 data and 
      pseudo OPRA data</TD></TR></TBODY></TABLE><BR></DIV>
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width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemtitle">Table 10: PFOF LPM: DMMs� Execution Quality 
      Comparison with Competitors (Pseudo Data)</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>(2)</TH>
    <TH class="c header" scope=col>(3)</TH>
    <TH class="c header" scope=col>(4)</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">EQ Above$_{t-1}$</TD>
    <TD class="l data">0.000</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Price Improvement Below$_{t-1}$</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.001</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Auction Frequency Below$_{t-1}$</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.001</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Contracts Purchased (\%)</TD>
    <TD class="l data">0.000\twoS</TD>
    <TD class="l data">0.000\oneS</TD>
    <TD class="l data">0.000\oneS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">$\vert$Delta$\vert$</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Option QS</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">GAMMA</TD>
    <TD class="l data" noWrap>-0.006</TD>
    <TD class="l data" noWrap>-0.005</TD>
    <TD class="l data" noWrap>-0.005</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.004)</TD>
    <TD class="l data">(0.004)</TD>
    <TD class="l data">(0.004)</TD></TR>
  <TR>
    <TD class="l data">VEGA</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Stock QS</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.001</TD>
    <TD class="l data">0.001</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.001)</TD></TR>
  <TR>
    <TD class="l data">1/Option Midpoint</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">1/Stock Midpoint</TD>
    <TD class="l data" noWrap>-7.860\oneS</TD>
    <TD class="l data" noWrap>-10.233</TD>
    <TD class="l data" noWrap>-10.233</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(4.509)</TD>
    <TD class="l data">(6.654)</TD>
    <TD class="l data">(6.654)</TD></TR>
  <TR>
    <TD class="l data">MCAP</TD>
    <TD class="l data" noWrap>-0.032\oneS</TD>
    <TD class="l data" noWrap>-0.037</TD>
    <TD class="l data" noWrap>-0.037</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.016)</TD>
    <TD class="l data">(0.022)</TD>
    <TD class="l data">(0.022)</TD></TR>
  <TR>
    <TD class="l data">Trade size</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Call</TD>
    <TD class="l data" noWrap>-0.000\oneS</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Days-to-Exp</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Tick Size</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">Buy</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.000)</TD></TR>
  <TR>
    <TD class="l data">RSq</TD>
    <TD class="l data">0.179</TD>
    <TD class="l data">0.164</TD>
    <TD class="l data">0.164</TD></TR>
  <TR>
    <TD class="l data">Date FE</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">251600.0</TD>
    <TD class="l data">251600.0</TD>
    <TD class="l data">251600.0</TD></TR>
  <TR>
    <TD class="l data">Underlying FE</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents results from a linear 
      probability model for auctions at exchanges where the designated market 
      maker (DMM) pays payment for orderflow (PFOF) Rule 606 DMMs using Rule 606 
      data and pseudo OPRA data.</TD></TR></TBODY></TABLE><BR></DIV>
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<DIV class=branch></DIV>
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  <TBODY>
  <TR>
    <TD class="c systemtitle">Table 11: PFOF Auctions and Competition (Pseudo 
      Data)</TD></TR></TBODY></TABLE><BR>
<DIV>
<DIV align=center>
<TABLE class=table borderColor=#c1c1c1 cellSpacing=0 cellPadding=5 rules=all 
summary="Procedure Report: Detailed and/or summarized report" frame=box>
  <COLGROUP>
  <COL>
  <COL>
  <COL></COLGROUP>
  <THEAD>
  <TR>
    <TH class="c header" scope=col>Variable</TH>
    <TH class="c header" scope=col>EQ</TH>
    <TH class="c header" scope=col>Price Improvement</TH></TR></THEAD>
  <TBODY>
  <TR>
    <TD class="l data">PFOF</TD>
    <TD class="l data">0.104</TD>
    <TD class="l data" noWrap>-0.769</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.081)</TD>
    <TD class="l data">(28.355)</TD></TR>
  <TR>
    <TD class="l data">EQ Above$t-1$</TD>
    <TD class="l data" noWrap>-0.074</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.086)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">PFOF$\times EQ Above_{t-1}$</TD>
    <TD class="l data">0.109</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.086)</TD>
    <TD class="c data">&nbsp;</TD></TR>
  <TR>
    <TD class="l data">Price Improvement Below$t-1$</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data" noWrap>-0.866</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(27.975)</TD></TR>
  <TR>
    <TD class="l data">PFOF$\times Price Improvement Below$t-1$</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">0.000</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(27.971)</TD></TR>
  <TR>
    <TD class="l data">Contract Purchases (\%)</TD>
    <TD class="l data" noWrap>-0.000</TD>
    <TD class="l data" noWrap>-0.009</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.000)</TD>
    <TD class="l data">(0.010)</TD></TR>
  <TR>
    <TD class="l data">$\vert$Delta$\vert$</TD>
    <TD class="l data" noWrap>-0.145\threeS</TD>
    <TD class="l data">28.819\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.009)</TD>
    <TD class="l data">(3.313)</TD></TR>
  <TR>
    <TD class="l data">Gamma</TD>
    <TD class="l data">0.285\twoS</TD>
    <TD class="l data" noWrap>-112.824\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.131)</TD>
    <TD class="l data">(27.422)</TD></TR>
  <TR>
    <TD class="l data">Vega</TD>
    <TD class="l data">0.017\oneS</TD>
    <TD class="l data">45.046\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.009)</TD>
    <TD class="l data">(3.874)</TD></TR>
  <TR>
    <TD class="l data">Underlying Quoted Spr.</TD>
    <TD class="l data" noWrap>-0.105\threeS</TD>
    <TD class="l data">26.569\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.017)</TD>
    <TD class="l data">(2.996)</TD></TR>
  <TR>
    <TD class="l data">1/Option Midpoint</TD>
    <TD class="l data" noWrap>-0.002</TD>
    <TD class="l data">1.519\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.294)</TD></TR>
  <TR>
    <TD class="l data">1/Underlying Midpoint</TD>
    <TD class="l data" noWrap>-14.434</TD>
    <TD class="l data" noWrap>-3347.79\twoS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(13.420)</TD>
    <TD class="l data">(1590.066)</TD></TR>
  <TR>
    <TD class="l data">Underlying MCAP</TD>
    <TD class="l data" noWrap>-0.024</TD>
    <TD class="l data">12.339</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.051)</TD>
    <TD class="l data">(8.480)</TD></TR>
  <TR>
    <TD class="l data">Trade size</TD>
    <TD class="l data">0.016\threeS</TD>
    <TD class="l data" noWrap>-0.268\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.001)</TD>
    <TD class="l data">(0.076)</TD></TR>
  <TR>
    <TD class="l data">Call</TD>
    <TD class="l data">0.013\threeS</TD>
    <TD class="l data" noWrap>-1.633\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.002)</TD>
    <TD class="l data">(0.323)</TD></TR>
  <TR>
    <TD class="l data">Days-to-Expiry</TD>
    <TD class="l data" noWrap>-0.019\threeS</TD>
    <TD class="l data" noWrap>-0.670</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.627)</TD></TR>
  <TR>
    <TD class="l data">Tick Size</TD>
    <TD class="l data" noWrap>-0.013\threeS</TD>
    <TD class="l data">6.620\threeS</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.004)</TD>
    <TD class="l data">(1.075)</TD></TR>
  <TR>
    <TD class="l data">Buy</TD>
    <TD class="l data" noWrap>-0.002</TD>
    <TD class="l data">0.183</TD></TR>
  <TR>
    <TD class="c data">&nbsp;</TD>
    <TD class="l data">(0.003)</TD>
    <TD class="l data">(0.127)</TD></TR>
  <TR>
    <TD class="l data">RSq</TD>
    <TD class="l data">0.029</TD>
    <TD class="l data">0.342</TD></TR>
  <TR>
    <TD class="l data">NObs</TD>
    <TD class="l data">251600.0</TD>
    <TD class="l data">251600.0</TD></TR>
  <TR>
    <TD class="l data">Date FE</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR>
  <TR>
    <TD class="l data">Underlying FE</TD>
    <TD class="l data">Yes</TD>
    <TD class="l data">Yes</TD></TR></TBODY></TABLE></DIV></DIV><BR>
<TABLE class=systitleandfootercontainer cellSpacing=1 cellPadding=1 rules=none 
width="100%" summary="Page Layout" border=0 frame=void>
  <TBODY>
  <TR>
    <TD class="c systemfooter">This table presents regression results for PFOF 
      effective spread to quoted spread (EQ), price improvement and competition 
      for auctions at exchanges where the designated market maker (DMM) pays 
      payment for orderflow (PFOF) using Rule 606 data and pseudo OPRA 
  data.</TD></TR></TBODY></TABLE><BR></DIV>
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